Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs (Q2830883)
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scientific article; zbMATH DE number 6646175
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| English | Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs |
scientific article; zbMATH DE number 6646175 |
Statements
Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs (English)
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1 November 2016
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optimal switching
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stopping time
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optimal stopping problem
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Snell envelope
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0.8670186400413513
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0.8118405342102051
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0.8083496689796448
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0.8011462688446045
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0.7946516275405884
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