678 citations · 994 across the 24 of their papers we have counts for
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math.OC2014
Optimal Switching Problems under Partial Information
Kai Li, Kaj Nyström, Marcus Olofsson
In this paper we formulate and study an optimal switching problem under partial information. In our model the agent/manager/investor attempts to maximize the expected reward by swi…
math.OC2013★ 1 cited
Systems of variational inequalities for non-local operators related to optimal switching problems: Existence and uniqueness
Niklas L. P. LundstrÖm, Kaj NystrÖm, Marcus Olofsson
In this paper we study a system of variational inequalities where the operator is non-local, possibly degenerate and of second order. A special case of this type of problem occurs…