Optimal switching at Poisson random intervention times
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Publication:316899
DOI10.3934/dcdsb.2016008zbMath1347.60043arXiv1309.5608MaRDI QIDQ316899
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
optimal stoppingordinary differential equationsbackward stochastic differential equationsPoisson processoptimal switching
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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