Optimal Switching at Poisson Random Intervention Times

Gechun Liang; Wei Wei

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arXiv · 1309.5608

Optimal Switching at Poisson Random Intervention Times

Gechun Liang·Wei Wei

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Abstract

This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward stochastic differential equation system. The value function and the optimal switching strategy are characterized by the solution of the underlying switching system. In a Markovian setting, the paper gives a complete description of the structure of switching regions by means of the comparison principle.

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Gechun Liang, Wei Wei. 2014-03-06. Optimal Switching at Poisson Random Intervention Times. https://arxiv.org/abs/1309.5608

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