Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
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Publication:5453570
DOI10.1137/050638783zbMath1135.60314OpenAlexW2108101768MaRDI QIDQ5453570
Publication date: 3 April 2008
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/050638783
Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stopping in statistics (62L15)
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