Article ID: | iaor20021939 |
Country: | Germany |
Volume: | 53 |
Issue: | 1 |
Start Page Number: | 1 |
End Page Number: | 24 |
Publication Date: | Jan 2001 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Yushkevich A. |
Optimal switching we consider is the following generalization of optimal stopping: (i) there are a reward function and a cost function on the state space of a Markov chain; (ii) a controller selects stopping times sequentially; (iii) at those times the controller receives rewards and pays costs in an alternating order. In this paper we treat the case of a positive recurrent countable Markov chain and the average per unit time criterion. We find an optimal strategy and the maximal average gain in terms of the solution of a variational problem with two obstacles, known also in connection with Dynkin games.