Optimal switching at Poisson random intervention times
From MaRDI portal
Publication:316899
DOI10.3934/DCDSB.2016008zbMATH Open1347.60043arXiv1309.5608OpenAlexW2964061072MaRDI QIDQ316899FDOQ316899
Authors: Gechun Liang, Wei Wei 
Publication date: 30 September 2016
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1309.5608
Recommendations
- On the finite horizon optimal switching problem with random lag
- A finite horizon optimal multiple switching problem
- Optimal switching and stopping problem in finite horizon
- A stochastic target formulation for optimal switching problems in finite horizon
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
Poisson processbackward stochastic differential equationsoptimal stoppingordinary differential equationsoptimal switching
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)
Cites Work
- Continuous-time stochastic control and optimization with financial applications
- Forward-backward stochastic differential equations and their applications
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- Multi-dimensional BSDE with oblique reflection and optimal switching
- Optimal Switching over Multiple Regimes
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Title not available (Why is that?)
- Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
- Backward Stochastic Differential Equations in Finance
- On the Starting and Stopping Problem: Application in Reversible Investments
- Adapted solution of a backward stochastic differential equation
- Switching problem and related system of reflected backward SDEs
- Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
- A model for investment decisions with switching costs.
- On the One-Dimensional Optimal Switching Problem
- Optimal Switching in an Economic Activity under Uncertainty
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
- Optimal stopping with random intervention times
- Stochastic control representations for penalized backward stochastic differential equations
- Sequential tracking of a hidden Markov chain using point process observations
- Valuation of power plants by utility indifference and numerical computation
- Optimal stopping with information constraint
- Trend following trading under a regime switching model
- Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
Cited In (21)
- Optimal switching between cash-flow streams
- The shape of the value function under Poisson optimal stopping
- Dynkin games with Poisson random intervention times
- Discrete-time risk-aware optimal switching with non-adapted costs
- On the finite horizon optimal switching problem with random lag
- On some impulse control problems with constraint
- On some optimal stopping problems with constraint
- The explicit solution to a sequential switching problem with non-smooth data
- Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems
- On some ergodic impulse control problems with constraint
- Average optimality in a Poissonian bandit with switching arms
- Constrained optimal stopping, liquidity and effort
- A stochastic target formulation for optimal switching problems in finite horizon
- Analytical and numerical solutions to ergodic control problems arising in environmental management
- Stochastic control representations for penalized backward stochastic differential equations
- Some control problems with random intervention times
- Two-sided Poisson control of linear diffusions
- Randomised rules for stopping problems
- Solutions for Poissonian stopping problems of linear diffusions via extremal processes
- Optimal switching and stopping problem in finite horizon
- A zero-sum Poisson stopping game with asymmetric signal rates
This page was built for publication: Optimal switching at Poisson random intervention times
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q316899)
