一维最优切换问题的光滑拟合性质
On the smooth-fit property for one-dimensional optimal switching problem
摘要：
本文研究一维扩散的最优切换问题，该问题可看作是具有区域变化的序列最优停止问题。由此产生的动态规划原则导致了一个系统的变分不等式，和状态空间分为连续区域和切换区域。利用黏性解的方法证明了值函数的光滑拟合$C^1$性质。
英文摘要：
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of variational inequa-lities, and the state space is divided into continuation regions and switching regions. By means of viscosity solutions approach, we prove the smoot-fit $C^1$ property of the value functions.
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