On the One-Dimensional Optimal Switching Problem

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We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the value function. The shape of the value function and the smooth fit principle then can be proved using the properties of concave functions.
Keywords: Optimal switching problem, optimal stopping problem, Itô diffusions

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Optimization and Control, Probability, 60G40, 60J60, 93E20.

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http://salesiana.dossiersoluciones.com/handle/123456789/231087

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0707.0100
 http://arxiv.org/abs/0707.0100

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arXiv