A finite horizon optimal switching problem with memory and application to controlled SDDEs (Q784786)
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| Language | Label | Description | Also known as |
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| English | A finite horizon optimal switching problem with memory and application to controlled SDDEs |
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A finite horizon optimal switching problem with memory and application to controlled SDDEs (English)
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3 August 2020
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In this paper, the author addresses a switching optimal control problem in finite horizon. The novelty consists in considering the dependence of the entire control trajectory in both running and terminal costs. The way to ensure the existence of optimal switching controls is through the use of Snell envelopes together with the existence of certain family of stochastic processes so-called ``verification family''. In order to illustrate the results, an application regarding to hydro-power plants is studied.
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impulse control
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optimal switching
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real options
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stopping time
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Snell envelope
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SDDEs
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