Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
成果类型：
Article
署名作者：
Martyr, Randall
署名单位：
University of London; Queen Mary University London
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.2016.0783
发表日期：
2016
页码：
1432-1447
关键词：
摘要：
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward, and switching costs that can belong to a large class of stochastic processes. Particularly, the switching costs are modelled by right-continuous with left-limits processes that are quasi-left-continuous and can take positive and negative values. We provide sufficient conditions leading to a well known probabilistic representation of the value function for the switching problem in terms of interconnected Snell envelopes. We also prove the existence of an optimal strategy in a suitable class of admissible controls, defined iteratively in terms of the Snell envelope processes.