A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions
Optimization and Control
2007-05-23 v1
Abstract
In this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value function and switching strategies, or does not require the proof of optimality through quasi-variational inequalities. The direct method uses a general theory of optimal stopping problems for one-dimensional diffusions and characterizes the value function as sets of the smallest linear majorants in their respective transformed spaces.
Cite
@article{arxiv.0704.0991,
title = {A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions},
author = {Masahiko Egami},
journal= {arXiv preprint arXiv:0704.0991},
year = {2007}
}