On the One-Dimensional Optimal Switching Problem

Erhan Bayraktar, Masahiko Egami
2010 Mathematics of Operations Research  
We characterize the optimal switching problem as coupled optimal stoping problems. We then use the optimal stopping theory to provide a solution. As opposed to the methods using quasi-variational inequalities and verification theorem we directly work with the value function.
doi:10.1287/moor.1090.0432 fatcat:evtxzphagfcsnavqlck5uhlep4