The explicit solution to a sequential switching problem with non-smooth data

DOI10.1080/17442500903106606zbMath1195.93146OpenAlexW2144627760WikidataQ58060568 ScholiaQ58060568MaRDI QIDQ3585324

Mihail Zervos, Timothy C. Johnson

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/29003/

zbMATH Keywords

optimal switchingsystem of variational inequalitiesstochastic impulse controlsequential entry and exit decisions

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25)

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