Optimal switching at Poisson random intervention times

DOI10.3934/dcdsb.2016008zbMath1347.60043arXiv1309.5608OpenAlexW2964061072MaRDI QIDQ316899

Wei Wei, Gechun Liang

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

optimal stoppingordinary differential equationsbackward stochastic differential equationsPoisson processoptimal switching

Mathematics Subject Classification ID

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

Related Items (11)

On Some Ergodic Impulse Control Problems with Constraint ⋮ Constrained optimal stopping, liquidity and effort ⋮ Analytical and numerical solutions to ergodic control problems arising in environmental management ⋮ A zero-sum Poisson stopping game with asymmetric signal rates ⋮ On Some Impulse Control Problems with Constraint ⋮ Randomised rules for stopping problems ⋮ The shape of the value function under Poisson optimal stopping ⋮ Error Estimates of Penalty Schemes for Quasi-Variational Inequalities Arising from Impulse Control Problems ⋮ On Some Optimal Stopping Problems with Constraint ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations

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