Search Results - subject:"optimal switching"

What to study and when : a dynamic Roy model of specialization

Alon, Titan; Fershtman, Daniel - 2023

Persistent link: https://www.econbiz.de/10014342273

Optimal entry and exit decisions under uncertainty and the impact of mean reversion

Tvedt, Jostein - In: Operations research forum 3 (2022) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10013461934

Social Unrest and the timing of revolution

Camacho, Carmen; Hassan, Waleed - 2021

Persistent link: https://www.econbiz.de/10012643119

An impulse-regime switching game model of vertical competition

Aïd, René; Campi, Luciano; Li, Liangchen; Ludkovski, Mike - In: Dynamic games and applications : DGA 11 (2021) 4, pp. 631-669

Persistent link: https://www.econbiz.de/10012666343

A finite horizon optimal switching problem with memory and application to controlled SDDEs

Perninge, Magnus - In: Mathematical methods of operations research : ZOR 91 (2020) 3, pp. 465-500

Persistent link: https://www.econbiz.de/10012301615

On the Optimal Timing of Switching from non-Renewable to Renewable Resources: Dirty vs Clean Energy Sources and the Relative Efficiency of Generators

Agliardi, Elettra; Sereno, Luigi - Rimini Centre for Economic Analysis (RCEA) - 2013

We develop a model on the optimal timing of switching from non-renewable to renewable energy sources with endogenous extraction choices under emission taxes, subsidies on renewable resources and abatement costs. We assume that non-renewable resources are "dirty" inputs and create environmental...

Persistent link: https://www.econbiz.de/10010607390

A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, … - HAL - 2012

In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal multiple switching problems in infinite horizon. We provide the rate of convergence of the method in terms of the time...

Persistent link: https://www.econbiz.de/10010899909

On the optimal timing of switching from non-renewable to renewable resources : dirty vs clean energy sources and the relative efficiency of generators

Agliardi, Elettra; Sereno, Luigi - 2012

We develop a model on the optimal timing of switching from non-renewable to renewable energy sources with endogenous extraction choices under emission taxes and abatement costs. We assume that non-renewable resources are "dirty" inputs and create environmental degradation, while renewable...

Persistent link: https://www.econbiz.de/10011731342

The explicit solution to a sequential switching problem with non-smooth data

Johnson, Timothy C.; Zervos, Mihail - London School of Economics (LSE) - 2010

We consider the problem faced by a decision maker who can switch between two random payoff flows. Each of these payoff flows is an additive functional of a general 1D Ito diffusion. There are no bounds on the number or on the frequency of the times at which the decision maker can switch, but...

Persistent link: https://www.econbiz.de/10010745179

Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps

Gapeev, Pavel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

jumps. The method of proof is based on reducing the initial optimal switching problems to the corresponding coupled optimal … reducing the initial optimal switching problems to the corresponding coupled optimal stopping prob- lems and solving the … disorder problem, Wiener process, compound Poisson process, optimal switching, coupled optimal stopping problem, (integro …

Persistent link: https://www.econbiz.de/10005677963