## Advances in Applied Probability

- Adv. in Appl. Probab.
- Volume 48, Number 3 (2016), 832-847.

### Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs

#### Abstract

In this paper we study a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward, and signed (positive and negative) switching costs. Using optimal stopping theory for discrete-parameter stochastic processes, we extend a well-known explicit dynamic programming method for computing the value function and the optimal strategy to the case of signed switching costs.

#### Article information

**Source**

Adv. in Appl. Probab., Volume 48, Number 3 (2016), 832-847.

**Dates**

First available in Project Euclid: 19 September 2016

**Permanent link to this document**

https://projecteuclid.org/euclid.aap/1474296317

**Mathematical Reviews number (MathSciNet)**

MR3568894

**Zentralblatt MATH identifier**

1348.93282

**Subjects**

Primary: 93E20: Optimal stochastic control

Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 62P20: Applications to economics [See also 91Bxx]

**Keywords**

Optimal switching stopping time optimal stopping problem Snell envelope

#### Citation

Martyr, R. Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs. Adv. in Appl. Probab. 48 (2016), no. 3, 832--847. https://projecteuclid.org/euclid.aap/1474296317