A mixed singular/switching control problem with terminal cost for modulated diffusion processes
Optimization and Control
2022-12-02 v2
Abstract
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clock. Every time the random clock rings, the generator matrix is replaced by another, resulting in 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.
Cite
@article{arxiv.2211.13007,
title = {A mixed singular/switching control problem with terminal cost for modulated diffusion processes},
author = {Mark Kelbert and Harold A. Moreno-Franco},
journal= {arXiv preprint arXiv:2211.13007},
year = {2022}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2006.13595