The explicit solution to a sequential switching problem with non-smooth data
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optimal switchingsequential entry and exit decisionsstochastic impulse controlsystem of variational inequalities
Variational inequalities (49J40) Optimality conditions for problems involving randomness (49K45) Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cites work
- A finite horizon optimal multiple switching problem
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Cited in
(13)- An investment model with switching costs and the option to abandon
- Stochastic impulse control with regime-switching dynamics
- Optimal switching under a hybrid diffusion model and applications to stock trading
- Systems of reflected BSDEs with interconnected bilateral obstacles: existence, uniqueness and applications
- On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
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- Optimal Switching among Several Brownian Motions
- A methodology to assess the economic impact of power storage technologies
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- Co-development ventures: optimal time of entry and profit-sharing
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