On the Finite Horizon Optimal Switching Problem with Random Lag
Optimization and Control
2019-08-22 v2
Abstract
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 switching mode. The possibility of failures is modeled by having absorbing components. We show existence of an optimal control for the problem by applying a probabilistic technique based on the concept of Snell envelopes.
Keywords
Cite
@article{arxiv.1808.08080,
title = {On the Finite Horizon Optimal Switching Problem with Random Lag},
author = {Magnus Perninge},
journal= {arXiv preprint arXiv:1808.08080},
year = {2019}
}