Optimal switching at Poisson random intervention times

Gechun  Liang; Wei  Wei

doi:10.3934/dcdsb.2016008

Article Contents

2016, Volume 21, Issue 5: 1483-1505. Doi: 10.3934/dcdsb.2016008

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Optimal switching at Poisson random intervention times

Gechun Liang^1, and
Wei Wei^2,

1.
Department of Mathematics, King's College London, Strand, London, WC2R 2LS
2.
Mathematical Institute, University of Oxford, Woodstock Road, Oxford, OX2 6GG

Received: October 2013

Revised: March 2014

Published: July 2016

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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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Mathematics Subject Classification: 60H10, 60G40, 93E20.

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