On a switching control problem with c\`adl\`ag costs
Abstract
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function as well as the existence of "-optimal control policies. As a by-product, we also study the existence and uniqueness of solutions of a system of backward stochastic differential equations whose barriers (or obstacles) are discontinuous (in fact of c\`adl\`ag type) and depend itself on the unknown solution. At the last part of the paper, we study the case when an underlying diffusion is part of the dynamic of the system. In this special case, the optimal payoff becomes a weak solution of the HJB system of PDEs with obstacles which is of quasi-variational type. This paper is somehow a continuation of the papers [8, 17] that consider continuous costs.
Cite
@article{arxiv.1907.03401,
title = {On a switching control problem with c\`adl\`ag costs},
author = {Said Hamadène and Héctor Jasso-Fuentes and Yamid A. Osorio-Agudelo},
journal= {arXiv preprint arXiv:1907.03401},
year = {2019}
}
Comments
30 pages