25 citations · 42 across the 9 of their papers we have counts for
Showing 2014 · math.OCShow all
3 papers · 2 filters
math.OC2014★ 5 cited
Solving finite time horizon Dynkin games by optimal switching
Randall Martyr
This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal sto…
math.OC2014★ 3 cited
Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs
Randall Martyr
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) swit…
math.OC2014★ 25 cited
Finite-horizon optimal multiple switching with signed switching costs
Randall Martyr
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and…