Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
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Publication:2833110
DOI10.1287/MOOR.2016.0783zbMath1350.93096arXiv1411.3971OpenAlexW1850297028MaRDI QIDQ2833110
Publication date: 16 November 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.3971
Applications of statistics to economics (62P20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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