Characterizes optimal cost and ε-optimal policies for switching control with càdlàg costs; proves existence/uniqueness for BSDEs with discontinuous barriers and weak HJB solutions in diffusion case.
A., Oksendal, B.: The high contact principle as a sufficiency condition for optimal stopping, in Stochastic models and Option Values , North-Holland, Amsterdam, 1991, pp
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On a switching control problem with c\`adl\`ag costs
Characterizes optimal cost and ε-optimal policies for switching control with càdlàg costs; proves existence/uniqueness for BSDEs with discontinuous barriers and weak HJB solutions in diffusion case.