論文

査読有り
2010年2月

On the One-Dimensional Optimal Switching Problem

MATHEMATICS OF OPERATIONS RESEARCH
  • Erhan Bayraktar
  • ,
  • Masahiko Egami

35
1
開始ページ
140
終了ページ
159
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1287/moor.1090.0432
出版者・発行元
INFORMS

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

リンク情報
DOI
https://doi.org/10.1287/moor.1090.0432
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000275302400008&DestApp=WOS_CPL
ID情報
  • DOI : 10.1287/moor.1090.0432
  • ISSN : 0364-765X
  • Web of Science ID : WOS:000275302400008

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