Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
Author:
Affiliation:
1. School of Mathematical Sciences, Queen Mary University of London, London E1 4NS, United Kingdom
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Computer Science Applications,General Mathematics
Link
https://pubsonline.informs.org/doi/pdf/10.1287/moor.2016.0783
Reference25 articles.
1. On the One-Dimensional Optimal Switching Problem
2. A stochastic target formulation for optimal switching problems in finite horizon
3. North-Holland Mathematics Studies;Dellacherie C,1982
4. A Finite Horizon Optimal Multiple Switching Problem
5. Viscosity solutions for a system of PDEs and optimal switching
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