%0 Journal Article %T A General Optimal Multiple Stopping Problem with an Application to Swing Options %+ Laboratoire de Modélisation Mathématique et Numérique dans les Sciences de l'Ingénieur [Tunis] (LR-LAMSIN-ENIT) %+ Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP) %+ Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems (Commands) %A Ben Latifa, Imene %A Bonnans, Joseph Frédéric %A Mnif, Mohamed %< avec comité de lecture %@ 0736-2994 %J Stochastic Analysis and Applications %I Taylor & Francis: STM, Behavioural Science and Public Health Titles %V 33 %N 4 %P 715-739 %8 2015-06-01 %D 2015 %R 10.1080/07362994.2015.1037592 %K Viscosity solution. %K Snell envelope %K Optimal multiple stopping %K Swing option %K Jump diffusion process %Z Mathematics [math]/Probability [math.PR] %Z Mathematics [math]/Optimization and Control [math.OC]Journal articles %X In their paper, Carmona and Touzi [8] studied an optimal multiple stopping time problem in a market where the price process is continuous. In this article, we generalize their results when the price process is allowed to jump. Also, we generalize the problem associated to the valuation of swing options to the context of jump diffusion processes. We relate our problem to a sequence of ordinary stopping time problems. We characterize the value function of each ordinary stopping time problem as the unique viscosity solution of the associated Hamilton–Jacobi–Bellman variational inequality. %G English %2 https://inria.hal.science/hal-01248283/document %2 https://inria.hal.science/hal-01248283/file/A_general_optimal_multiple_stopping_problem_with_an_application_to_Swing_Options_final.pdf %L hal-01248283 %U https://inria.hal.science/hal-01248283 %~ X %~ ENSTA %~ CNRS %~ INRIA %~ INRIA-SACLAY %~ INSMI %~ X-CMAP %~ X-DEP %~ X-DEP-MATHA %~ INRIA_TEST %~ TESTALAIN1 %~ CMAP %~ INRIA2 %~ TDS-MACS %~ UNIV-PARIS-SACLAY %~ INRIA-SACLAY-2015 %~ X-SACLAY %~ GS-COMPUTER-SCIENCE