Optimal switching at Poisson random intervention times

DOI10.3934/DCDSB.2016008MaRDI QIDQ316899zbMATHOpenAlexFDO

Authors Gechun Liang, Wei Wei

Publication date 30 September 2016

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.5608

zbMATH Keywords

Poisson processbackward stochastic differential equationsoptimal stoppingordinary differential equationsoptimal switching

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Abstract: This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward stochastic differential equation system. The value function and the optimal switching strategy are characterized by the solution of the underlying switching system. In a Markovian setting, the paper gives a complete description of the structure of switching regions by means of the comparison principle.

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Cited in

(21)

• Two-sided Poisson control of linear diffusions
• Average optimality in a Poissonian bandit with switching arms
• A stochastic target formulation for optimal switching problems in finite horizon
• Analytical and numerical solutions to ergodic control problems arising in environmental management
• On some impulse control problems with constraint
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• The shape of the value function under Poisson optimal stopping
• On some optimal stopping problems with constraint
• Discrete-time risk-aware optimal switching with non-adapted costs
• The explicit solution to a sequential switching problem with non-smooth data
• Optimal switching between cash-flow streams
• Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
• Stochastic control representations for penalized backward stochastic differential equations
• On some ergodic impulse control problems with constraint
• On the finite horizon optimal switching problem with random lag
• Dynkin games with Poisson random intervention times
• Some control problems with random intervention times
• Optimal switching and stopping problem in finite horizon
• Constrained optimal stopping, liquidity and effort
• Randomised rules for stopping problems
• A zero-sum Poisson stopping game with asymmetric signal rates

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