A Finite Horizon Optimal Multiple Switching Problem
نویسندگان
چکیده
منابع مشابه
A Finite Horizon Optimal Multiple Switching Problem
We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem and completely solved using probabilistic tools such as the Snell envelop of processes and reflected backward stochastic differential equations. Finally, whe...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2009
ISSN: 0363-0129,1095-7138
DOI: 10.1137/070697641