Abstract
AbstractWe solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision-maker is risk-aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example application to hydropower planning is provided.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
3 articles.
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