@book{2895bb61d7454d10a31be4f7ee2437b3,

title = "Dynamic Programming for Discrete-Time Finite Horizon Optimal Switching Problems with Negative Switching Costs",

abstract = "This paper studies 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 the martingale approach to optimal stopping problems, 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.",

keywords = "optimal switching, real options, stopping times, optimal stopping problems, Snell envelope",

author = "Martyr, {Randall Errol}",

note = "This research was partially supported by EPSRC grant EP/K00557X/1.also available at http://arxiv.org/abs/1411.3981",

year = "2014",

language = "English",

series = "Probability and Statistics Research Reports",

publisher = "University of Manchester",

address = "United Kingdom",

}