TY - JOUR
T1 - Optimal Switching at Poisson Random Intervention Times
AU - Liang, Gechun
AU - Wei, Wei
PY - 2016/7
Y1 - 2016/7
N2 - This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward stochastic differential equation system. The value function and the optimal switching strategy are characterized by the solution of the underlying switching system. In a Markovian setting, the paper gives a complete description of the structure of switching regions by means of the comparison principle.
AB - This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward stochastic differential equation system. The value function and the optimal switching strategy are characterized by the solution of the underlying switching system. In a Markovian setting, the paper gives a complete description of the structure of switching regions by means of the comparison principle.
U2 - 10.3934/dcdsb.2016008
DO - 10.3934/dcdsb.2016008
M3 - Article
VL - 21
SP - 1483
EP - 1505
JO - Discrete and continuous dynamical systems-Series b
JF - Discrete and continuous dynamical systems-Series b
SN - 1531-3492
IS - 5
ER -