Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs
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Publication:2830883
DOI10.1017/APR.2016.30zbMATH Open1348.93282arXiv1411.3981OpenAlexW3104183741MaRDI QIDQ2830883FDOQ2830883
Authors: Randall Martyr 
Publication date: 1 November 2016
Published in: Advances in Applied Probability (Search for Journal in Brave)
Abstract: This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal stopping problems, we extend a well known explicit dynamic programming method for computing the value function and the optimal strategy to the case of signed switching costs.
Full work available at URL: https://arxiv.org/abs/1411.3981
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Cited In (8)
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- Optimal switching for alternating processes
- Finite-horizon optimal multiple switching with signed switching costs
- Discrete-time risk-aware optimal switching with non-adapted costs
- A Method for Computing Double Band Policies for Switching between Two Diffusions
- Solving finite time horizon Dynkin games by optimal switching
- Two-parameter optimal stopping problem with switching costs
- Management strategies for run-of-river hydropower plants: an optimal switching approach
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