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12

MOR
2010

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On the One-Dimensional Optimal Switching Problem

13 years 2 months ago

On the One-Dimensional Optimal Switching Problem

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

Erhan Bayraktar, Masahiko Egami

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Dynamic Programming Principle | MOR 2010 | Optimal Switching Problem | Value Function |

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Added	29 Jan 2011
Updated	29 Jan 2011
Type	Journal
Year	2010
Where	MOR
Authors	Erhan Bayraktar, Masahiko Egami

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