An optimal multiple switching problem under weak assumptions
This work studies the problem of optimal multiple switching in finite horizon, when the switching costs functions are continous and belong to class D. This problem is solved by means of the Snell envelope of processes.
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| Format: | Article |
| Language: | English |
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BİSKA Bilisim Company
2017-10-01
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| Series: | Communication in Mathematical Modeling and Applications |
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| Online Access: | http://www.ntmsci.com/ajaxtool/GetArticleByPublishedArticleId?PublishedArticleId=8341 |