Séminaire_8_octobre

Saïd Hamadène (Le Mans Université)

Le 8 octobre 2024

The optimal switching problem with signed switching costs.

In this talk we discuss the optimal multiple modes switching problem in finite horizon when the costs associated with the changes of regimes do not have a constant sign. The problem is solved by means of probabilistic tools. The main assumption is the monotonicity of the switching costs. In the Markov setting, the associated HJB system of PDEs is also considered. We show the existence and uniqueness of the solution of this sytem in viscosity sense.

This is a joint work with B.ElAsri and M.Souheil (Agadir University).