Finite-Horizon Optimal Multiple Switching with Signed Switching Costs

DOI10.1287/MOOR.2016.0783zbMath1350.93096arXiv1411.3971OpenAlexW1850297028MaRDI QIDQ2833110

Randall Martyr

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

zbMATH Keywords

real optionsstopping timesoptimal stopping problemsoptimal switchingSnell envelope

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (10)

An investment model with switching costs and the option to abandon ⋮ Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching ⋮ System of variational inequalities with interconnected obstacles ⋮ Reflected BSDEs in non-convex domains ⋮ Management strategies for run-of-river hydropower plants: an optimal switching approach ⋮ A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time ⋮ A two-scale scheme for finite horizon switching problems with delays ⋮ On the finite horizon optimal switching problem with random lag ⋮ Switching problems with controlled randomisation and associated obliquely reflected BSDEs ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs

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