报告题目：Optimal Switching at Poisson Random Intervention Times

报 告 者：Gechun LIANG （Department of Mathematics，King''s College London，UK）

报告时间：2014年6月19日下午15：00 - 16:00

报告摘要：

We introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward stochastic differential equation system.The value function and the optimal switching strategy are characterized by the solution of theunderlying switching system. In a Markovian setting, the paper gives a complete descriptionof the structure of switching regions by means of the comparison principle. Joint work with Wei Wei.