On a switching control problem with càdlàg costs
Author:
Affiliation:
1. LMM, Le Mans University, Le Mans, France
2. Department of Mathematics, CINVESTAV-IPN, Mexico City, Mexico
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2021.1914618
Reference30 articles.
1. Discontinuous solutions of deterministic optimal stopping time problems
2. A stochastic target formulation for optimal switching problems in finite horizon
3. K.A. Brekke and B. Oksendal, The high contact principle as a sufficiency condition for optimal stopping, in Stochastic models and Option Values, North-Holland, Amsterdam, 1991, pp. 187–208.
4. Optimal Switching in an Economic Activity under Uncertainty
5. Pricing Asset Scheduling Flexibility using Optimal Switching
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1. Discrete-time switching control in random walks;International Journal of Control;2022-02-01
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