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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 82, 2010 - Issue 1: Special issue on Filtering and Stochastic Control
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Original Articles

The explicit solution to a sequential switching problem with non-smooth data

Timothy C. Johnson Department of Actuarial Mathematics and Statistics, Maxwell Institute for Mathematical Sciences, Heriot-Watt University, Edinburgh, EH14 4AS, UKView further author information
&
Mihail Zervos Department of Mathematics, London School of Economics, Houghton Street, London, WC2A 2AE, UKCorrespondence[email protected]
Pages 69-109 | Received 31 Mar 2008, Accepted 24 Feb 2009, Published online: 16 Feb 2010

Citations (19)

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Read on this site (3)

Boualem Djehiche & Ali Hamdi. (2015) A full balance sheet two-mode optimal switching problem. Stochastics 87:4, pages 604-622.
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Yongchao Zhang. (2015) Entry and exit decisions with linear costs under uncertainty. Stochastics 87:2, pages 209-234.
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Kurt L. Helmes, Richard H. Stockbridge & Hans Volkmer. (2011) Analysis of production decisions under budget limitations. Stochastics 83:4-6, pages 583-609.
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Articles from other publishers (16)

Guanxu Li & Zhen Wu. (2023) The mean field optimal switching problem: Variational inequality approach. Mathematical Control and Related Fields 0:0, pages 0-0.
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Said Hamadène & Tingshu Mu. (2020) Systems of reflected BSDEs with interconnected bilateral obstacles: Existence, uniqueness and applications. Bulletin des Sciences Mathématiques 161, pages 102854.
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Mihail Zervos, Carlos Oliveira & Kate Duckworth. (2018) An investment model with switching costs and the option to abandon. Mathematical Methods of Operations Research 88:3, pages 417-443.
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Siyu Lv, Zhen Wu & Qing Zhang. (2018) Optimal switching under a hybrid diffusion model and applications to stock trading. Automatica 94, pages 361-372.
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Laila El-Ghandour & Timothy C. Johnson. (2017) A methodology to assess the economic impact of power storage technologies. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 375:2100, pages 20160303.
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Boualem Djehiche, Said Hamadène, Marie-Amélie Morlais & Xuzhe Zhao. (2017) On the equality of solutions of max–min and min–max systems of variational inequalities with interconnected bilateral obstacles. Journal of Mathematical Analysis and Applications 452:1, pages 148-175.
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Ralf Korn, Yaroslav Melnyk & Frank Thomas Seifried. (2017) Stochastic impulse control with regime-switching dynamics. European Journal of Operational Research 260:3, pages 1024-1042.
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Timothy C. Johnson. (2015) The solution of some discretionary stopping problems:. IMA Journal of Mathematical Control and Information, pages dnv060.
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Mihail Zervos, Timothy C. Johnson & Fares Alazemi. (2012) BUY‐LOW AND SELL‐HIGH INVESTMENT STRATEGIES. Mathematical Finance 23:3, pages 560-578.
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Jakša Cvitanić, Sonja Radas & Hrvoje Šikić. (2011) Co-development ventures: Optimal time of entry and profit-sharing. Journal of Economic Dynamics and Control 35:10, pages 1710-1730.
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Pui Chan Lon & Mihail Zervos. (2011) A Model for Optimally Advertising and Launching a Product. Mathematics of Operations Research 36:2, pages 363-376.
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Laila El-Ghandour & Timothy C. Johnson. (2015) A Methodology to Assess the Economic Impact of Power Storage Technologies. SSRN Electronic Journal.
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Ralf Korn, Yaroslav Melnyk & Frank Thomas Seifried. (2015) Stochastic Impulse Control with Regime-Switching Dynamics. SSRN Electronic Journal.
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Timothy C. Johnson. (2014) The Solution of Discretionary Stopping Problems with Applications to the Optimal Timing of Investment Decisions. SSRN Electronic Journal.
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Mohammad Mousavi & Peter W. Glynn. (2013) Shape-Constrained Estimation of Value Functions. SSRN Electronic Journal.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2011) Preemption Games Under Levy Uncertainty. SSRN Electronic Journal.
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