Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Finite-horizon optimal multiple switching with signed switching costs   This paper is concerned with optimal switching over multiple modes in
continuous time and on a finite horizon. The performance index includes a
running reward, terminal reward and switching costs that can belong to a large
class of stochastic processes. Particularly, the switching costs are modelled
by right-continuous with left-limits processes that are quasi-left-continuous
and can take both positive and negative values. We provide sufficient
conditions leading to a well known probabilistic representation of the value
function for the switching problem in terms of interconnected Snell envelopes.
We also prove the existence of an optimal strategy within a suitable class of
admissible controls, defined iteratively in terms of the Snell envelope
processes.

9
The categories of this paper are: nlin
18
The categories of this paper are: econ
4
The categories of this paper are: cond-mat
0
The categories of this paper are: hep-ph
8
The categories of this paper are: hep-ex
33
The categories of this paper are: plasm-ph
36
The categories of this paper are: cmp-lg
22
The categories of this paper are: chao-dyn
1
The categories of this paper are: cs
21
The categories of this paper are: adap-org
15
The categories of this paper are: nucl-ex
28
The categories of this paper are: alg-geom
13
The categories of this paper are: quant-ph
10
The categories of this paper are: q-bio
12
The categories of this paper are: nucl-th
35
The categories of this paper are: mtrl-th