Time discretization and quantization methods for optimal multiple switching problem

DOI10.1016/j.spa.2012.02.008zbMath1245.65008arXiv1109.5256OpenAlexW2008997528MaRDI QIDQ424519

Paul Gassiat, Huyên Pham, Idris Kharroubi

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.5256

zbMATH Keywords

Markov chainsoptimal switchingdiscrete-time approximationnumerical probabilityquantization of random variables

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (3)

An investment model with switching costs and the option to abandon ⋮ Optimal decision policy for real options under general Markovian dynamics ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs

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