Hongkun Xia, Dacheng Yao · 2026 · arXiv
DOI: 10.48550/arXiv.2610.27552 · open-access PDF
我们研究一个无限地平线折扣的最佳切换问题,对于一个Ornstein - Uhlenbeck过程,其平均逆转水平可以在两个值之间切换。切换会产生积极的,潜在不对称的固定成本,而具有较高的平均逆转水平的模式会产生额外的运行成本。收入率与状态的积极部分相比例。我们描述了价值函数并确定了参数条件,在一个可能的成本昂贵的初始切换后,一个最佳政策在一个模式中永久保持或遵循一个门槛规则。
Machine translation (Meta M2M100); the English original follows.
We study an infinite-horizon discounted optimal switching problem for an Ornstein--Uhlenbeck process whose mean-reversion level can be switched between two values. Switching incurs positive, potentially asymmetric fixed costs, and the mode with the higher mean-reversion level entails an additional running cost. The revenue rate is proportional to the positive part of the state. We characterize the value function and identify parameter conditions under which an optimal policy either remains permanently in one mode after a possible costly initial switch or follows a threshold rule. The threshold
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