On the One-Dimensional Optimal Switching Problem
نویسندگان
چکیده
We characterize the optimal switching problem as coupled optimal stoping problems. We then use the optimal stopping theory to provide a solution. As opposed to the methods using quasi-variational inequalities and verification theorem we directly work with the value function.
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عنوان ژورنال:
- Math. Oper. Res.
دوره 35 شماره
صفحات -
تاریخ انتشار 2010