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• W2012091283 abstract "This paper is concerned with a probabilistic approach to an optimal switching problem. The dynamics of the system consists of a set of diffusions coupled by a finite-state Markov chain. It is shown that the corresponding value function can be given in terms of the solution of an oblique reflected backward stochastic differential equation with a Markov chain. In many applications, the underlying Markov chain exhibits two-time-scale structure. In this case, the value function for the original problem is shown to converge to the value function of a limit problem as the fluctuation rate shrinks to zero. The main advantage of this two-time-scale approach is the reduction of dimensionality. The limit problem is much easier to solve, and its optimal switching solution leads to approximate solutions to the original problem. Finally, a numerical example is provided to demonstrate the convergence result." @default.
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• W2012091283 date "2015-01-01" @default.
• W2012091283 modified "2023-10-16" @default.
• W2012091283 title "Optimal Switching under a Regime-Switching Model with Two-Time-Scale Markov Chains" @default.
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• W2012091283 doi "https://doi.org/10.1137/130938967" @default.
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