On the Optimal Switching Problem for One-Dimensional Diffusions
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.
منابع مشابه
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تاریخ انتشار 2009