A mixed singular/switching control problem with terminal cost for modulated diffusion processes

被引：0

作者：

Kelbert, Mark ^{[1
]}

Moreno-Franco, Harold A. ^{[1
]}

机构：

[1] Natl Res Univ, Dept Stat & Data Anal, Lab Stochast Anal & Its Applicat, Higher Sch Econ, Moscow, Russia

来源：

NONLINEAR ANALYSIS-HYBRID SYSTEMS | 2024年 / 51卷

基金：

俄罗斯科学基金会;

关键词：

Singular/switching stochastic control problem; Modulated multidimensional diffusion process; Hamilton-Jacobi-Bellman equations; Non-linear partial differential system; REGIME; EQUATIONS; SYSTEMS;

D O I：

10.1016/j.nahs.2023.101439

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, we study the regularity of the value function associated with a stochastic control problem involving two controls that act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clock. Whenever the random clock rings, the generator matrix is replaced by another, leading to a different dynamic for the finite state Markov chain of the modulated diffusion process. The second is a singular stochastic control that is executed on the process within each regime.

引用

页数：21

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