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In this paper, we propose a direct solution method for optimal switchingproblems of one-dimensional diffusions. This method is free from conjecturesabout the form of the value function and switching strategies, or does notrequire the proof of optimality through quasi-variational inequalities. Thedirect method uses a general theory of optimal stopping problems forone-dimensional diffusions and characterizes the value function as sets of thesmallest linear majorants in their respective transformed spaces.

A Direct Method for Solving Optimal Switching Problems of One-Dimensional Diffusions