Articlediamond2016

Optimal switching at Poisson random intervention times

17 citations0/0 files storedDiscrete and Continuous Dynamical Systems - B

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Adaptive Dynamic Programming Control

Abstract

This paper introduces a new class of optimal switching problems,where the player is allowed to switch at a sequence of exogenousPoisson arrival times, and the underlying switching system isgoverned by an infinite horizon backward stochastic differentialequation system. The value function and the optimal switchingstrategy are characterized by the solution of the underlyingswitching system. In a Markovian setting, the paper gives a completedescription of the structure of switching regions by means of thecomparison principle.

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 1999Stochastic Controls 2009Continuous-time Stochastic Control and Optimization with Financial Applications 2007Forward-Backward Stochastic Differential Equations and their Applications 1999Forward-Backward Stochastic Differential Equations and Their Applications 1994Optimal Switching in an Economic Activity under Uncertainty

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