2005) : “Explicit solution to an optimal switching problem in the two-regime case”, preprint PMA

This paper considers the problem of determining the optimal sequence of stopping times for a diffusion process subject to regime switching decisions. This is motivated in the economics literature, by the investment problem under uncertainty for a multi-activity firm involving opening and closing decisions. We use a viscosity solutions approach, and explicitly solve the problem in the two regimes case when the state process is of geometric Brownian nature