EXPLICIT SOLUTION TO AN OPTIMAL SWITCHING PROBLEM IN THE TWO-REGIME CASE.
In: SIAM Journal on Control & Optimization, Jg. 46 (2007-04-01), Heft 2, S. 395-426
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Zugriff:
This paper considers the problem of determining the optimal sequence of stopping times for a diffusion process subject to regime switching decisions. This is motivated in the economics literature by the investment problem under uncertainty for a multi-activity firm involving opening and closing decisions. We use a viscosity solutions approach combined with the smooth-fit property, and explicitly solve the problem in the two-regime case when the state process is of geometric Brownian nature. The results of our analysis take several qualitatively different forms, depending on model parameter values. [ABSTRACT FROM AUTHOR]
Titel: |
EXPLICIT SOLUTION TO AN OPTIMAL SWITCHING PROBLEM IN THE TWO-REGIME CASE.
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Autor/in / Beteiligte Person: | Vath, Vathana Ly ; Pham, Huyên |
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Zeitschrift: | SIAM Journal on Control & Optimization, Jg. 46 (2007-04-01), Heft 2, S. 395-426 |
Veröffentlichung: | 2007 |
Medientyp: | academicJournal |
ISSN: | 0363-0129 (print) |
DOI: | 10.1137/050638783 |
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