A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions

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dc.creatorEgami, Masahiko
dc.date2007-04-09
dc.date.accessioned2026-07-07T07:55:39Z
dc.date.available2026-07-07T07:55:39Z
dc.descriptionIn this paper, we propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value function and switching strategies, or does not require the proof of optimality through quasi-variational inequalities. The direct method uses a general theory of optimal stopping problems for one-dimensional diffusions and characterizes the value function as sets of the smallest linear majorants in their respective transformed spaces.
dc.identifierhttps://arxiv.org/abs/0704.0991
dc.identifierhttp://arxiv.org/abs/0704.0991
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/127044
dc.subjectOptimization and Control
dc.titleA Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions
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