On a mixed singular/switching control problem with multiples regimes
Optimization and Control
2020-10-13 v2
Abstract
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we show that the value function associated with this problem agrees with the solution to a Hamilton-Jacobi-Bellman (HJB) equation. In that way, we see that the regularity of the value function is .
Cite
@article{arxiv.2006.13595,
title = {On a mixed singular/switching control problem with multiples regimes},
author = {Mark Kelbert and Harold A. Moreno-Franco},
journal= {arXiv preprint arXiv:2006.13595},
year = {2020}
}