On the finite horizon optimal switching problem with random lag (Q2045122)

This paper solves an optimal switching problem with random lag (modeled by letting the operation mode follow a regime switching Markov-model with transition intensities that depend on the switching mode) with a possibility of component failure (modeled by having absorbing components). The author shows the existence of an optimal control for the problem by applying a probabilistic technique based on the concept of Snell envelopes.