Optimal switching at Poisson random intervention times

DOI10.3934/dcdsb.2016008zbMath1347.60043arXiv1309.5608MaRDI 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

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)

Related Items

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

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