On the finite horizon optimal switching problem with random lag

DOI10.1007/S00245-019-09648-0MaRDI QIDQ2045122zbMATH OpenOpenAlexFDO

Authors Magnus Perninge

Publication date 11 August 2021

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1808.08080

zbMATH Keywords

Markov processesoptimal switching problem

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Abstract: We consider an optimal switching problem with random lag and possibility of component failure. The random lag is modeled by letting the operation mode follow a regime switching Markov-model with transition intensities that depend on the switching mode. The possibility of failures is modeled by having absorbing components. We show existence of an optimal control for the problem by applying a probabilistic technique based on the concept of Snell envelopes.

Review text

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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Cited in

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