Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
Finite-Horizon Optimal Multiple Switching with Signed Switching Costs
复制标题
具有符号切换成本的有限范围最优多重切换
DOI：
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发表时间：
2014
影响因子：
1.7
通讯作者：
Randall Martyr
中科院分区：
文献类型：
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作者：
Randall Martyr
本文研究了在连续时间内和有限时间内的多模式最优切换问题。性能指标包括运行报酬、终端报酬和切换成本，它们可以属于一大类随机过程。具体地说，切换成本通过具有左限制的右连续过程来建模，该过程是准左连续的，并且可以取正值和负值。我们给出了关于互联Snell包络的切换问题的值函数的已知概率表示的充分条件。我们还证明了在一类适当的允许控制下，最优策略的存在性，这类控制由Snell包络过程迭代定义。
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and switching costs that can belong to a large class of stochastic processes. Particularly, the switching costs are modelled by right-continuous with left-limits processes that are quasi-left-continuous and can take both positive and negative values. We provide sufficient conditions leading to a well known probabilistic representation of the value function for the switching problem in terms of interconnected Snell envelopes. We also prove the existence of an optimal strategy within a suitable class of admissible controls, defined iteratively in terms of the Snell envelope processes.