Optimal switching at Poisson random intervention times

Abstract

This paper introduces a new class of optimal switching problems,where the player is allowed to switch at a sequence of exogenousPoisson arrival times, and the underlying switching system isgoverned by an infinite horizon backward stochastic differentialequation system. The value function and the optimal switchingstrategy are characterized by the solution of the underlyingswitching system. In a Markovian setting, the paper gives a completedescription of the structure of switching regions by means of thecomparison principle.