On the finite horizon optimal switching problem with random lag (Q2045122)
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scientific article; zbMATH DE number 7381007
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| English | On the finite horizon optimal switching problem with random lag |
scientific article; zbMATH DE number 7381007 |
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On the finite horizon optimal switching problem with random lag (English)
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11 August 2021
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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.
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optimal switching problem
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Markov processes
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0.8091891407966614
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0.805103600025177
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0.8045616745948792
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0.8011144399642944
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0.7868103981018066
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