On the One-Dimensional Optimal Switching Problem

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dc.creatorBayraktar, Erhan
dc.creatorEgami, Masahiko
dc.date2007-07-01
dc.date2009-05-25
dc.date.accessioned2026-07-07T13:17:21Z
dc.date.available2026-07-07T13:17:21Z
dc.descriptionWe 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.
dc.descriptionKeywords: Optimal switching problem, optimal stopping problem, Itô diffusions
dc.identifierhttps://arxiv.org/abs/0707.0100
dc.identifierhttp://arxiv.org/abs/0707.0100
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/231087
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject60G40, 60J60, 93E20.
dc.titleOn the One-Dimensional Optimal Switching Problem
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