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Explicit solution to an optimal switching problem in the two regimes case

Abstract : This paper considers the problem of determining the optimal sequence of stopping times for a diffusion process subject to regime switching decisions. This is motivated in the economics literature, by the investment problem under uncertainty for a multi-activity firm involving opening and closing decisions. We use a viscosity solutions approach, and explicitly solve the problem in the two regimes case when the state process is of geometric Brownian nature.
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https://hal.archives-ouvertes.fr/hal-00008125
Contributor : Huyên Pham <>
Submitted on : Monday, August 22, 2005 - 4:59:31 PM
Last modification on : Wednesday, December 9, 2020 - 3:10:19 PM
Long-term archiving on: : Thursday, April 1, 2010 - 8:34:39 PM

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  • HAL Id : hal-00008125, version 1

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Huyen Pham, Vathana Ly Vath. Explicit solution to an optimal switching problem in the two regimes case. 2005. ⟨hal-00008125⟩

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