On the One-Dimensional Optimal Switching Problem
Optimization and Control
2009-05-25 v3 Probability
Abstract
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the value function. The shape of the value function and the smooth fit principle then can be proved using the properties of concave functions.
Cite
@article{arxiv.0707.0100,
title = {On the One-Dimensional Optimal Switching Problem},
author = {Erhan Bayraktar and Masahiko Egami},
journal= {arXiv preprint arXiv:0707.0100},
year = {2009}
}
Comments
Keywords: Optimal switching problem, optimal stopping problem, It\^{o} diffusions