Optimal Switching over Multiple Regimes
نویسندگان
چکیده
منابع مشابه
Optimal Switching over Multiple Regimes
This paper studies the optimal switching problem for a general one-dimensional diffusion with multiple (more than two) regimes. This is motivated in the real options literature by the investment problem of a firm managing several production modes while facing uncertainties. A viscosity solutions approach is employed to carry out a fine analysis on the associated system of variational inequaliti...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2009
ISSN: 0363-0129,1095-7138
DOI: 10.1137/070709372