Related papers: A Finite Horizon Optimal Multiple Switching Proble…
This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as…
We consider the problem of optimal multi-modes switching in finite horizon, when the state of the system, including the switching cost functions are arbitrary ($g_{ij}(t,x)\geq 0$). We show existence of the optimal strategy, and give when…
In this paper we show existence and uniqueness of a solution for a system of m variational partial differential inequalities with inter-connected obstacles. This system is the deterministic version of the Verification Theorem of the…
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and switching costs that can belong to a large class of…
We study an optimal switching problem with a state constraint: the controller is only allowed to choose strategies that keep the controlled diffusion in a closed domain. We prove that the value function associated with this problem is the…
We consider an optimal switching problem where the terminal reward depends on the entire control trajectory. We show existence of an optimal control by applying a probabilistic technique based on the concept of Snell envelopes. We then…
We consider an optimal switching problem with random lag and possibility of component failure. The random lag is modeled by letting the operation mode follow a regime switching Markov-model with transition intensities that depend on the…
In this paper, we study the $m$-states optimal switching problem in finite horizon, when the switching cost functions are arbitrary and can be positive or negative. This has an economic incentive in terms of central evaluation in cases…
In this paper we set up an optimal control framework for a hybrid stochastic system with dual or multiple Markov switching diffusion processes, while Markov chains governing these switching diffusions are not identical as assumed by the…
This paper studies a system of $m$ variational inequalities with interconnected obstacles in infinite horizon associated to optimal multi-modes switching problems. Our main result is the existence and uniqueness of a continuous solution in…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
In this paper we study the optimal m-states switching problem in finite horizon as well as infinite horizon with risk of default. We allow the switching cost functionals and cost of default to be of polynomial growth and arbitrary. We show…
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the…
In this paper, we study optimal switching problems under ambiguity. To characterize the optimal switching under ambiguity in the finite horizon, we use multidimensional reflected backward stochastic differential equations (multidimensional…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
In this paper we use viscosity approach to provide an explicit solution to the problem of a two - player switching game. We characterize the switching regions which reduce the switching problem into one of finding a finite number of…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…