SIAMCO
2011
13 years 3 months ago
2011
Abstract. We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical diļ¬...
MOR
2010
13 years 11 months ago
2010
We explicitly solve the optimal switching problem for one-dimensional diļ¬usions by directly employing the dynamic programming principle and the excessive characterization of the ...