On the One-Dimensional Optimal Switching Problem

• 成果类型: Article
• 署名作者: Bayraktar, Erhan; Egami, Masahiko
• 署名单位: University of Michigan System; University of Michigan; Kyoto University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1090.0432
• 发表日期: 2010
• 页码: 140-159
• 关键词: stopping problem; EXIT DECISIONS; entry

摘要

We explicitly solve the optimal switching problem for one-dimensional diffusions by directly using 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.