Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case

DOI10.1137/050638783zbMATH Open1135.60314OpenAlexW2108101768MaRDI QIDQ5453570FDOQ5453570

Huyên Pham, Vathana Ly Vath

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

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zbMATH Keywords

viscosity solutionsoptimal switchingsystem of variational inequalitiessmooth-fit principle

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cited In (41)

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• Optimal switching at Poisson random intervention times
• A singular stochastic control problem with direction switching cost
• A stochastic target formulation for optimal switching problems in finite horizon
• Stochastic differential switching game in infinite horizon
• A two-mode mean-field optimal switching problem for the full balance sheet
• A solvable singular control problem driven by a jump diffusion process with applications
• Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
• Optimal strategies in a production inventory control model
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
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• Analysis of production decisions under budget limitations
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• Pricing Asset Scheduling Flexibility using Optimal Switching
• A methodology to assess the economic impact of power storage technologies
• Liquidity risk and optimal dividend/investment strategies
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• Robust feedback switching control: dynamic programming and viscosity solutions
• Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
• A balance sheet optimal multi-modes switching problem
• Optimal Switching between Locking Down and Opening the Economy Because of an Infection
• Solving singular control from optimal switching
• Optimal pair-trading strategy over long/short/square positions—empirical study
• Optimal pair-trading strategy over long/short/square positions—empirical study

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