On a mixed singular/switching control problem with multiple regimes

DOI10.1017/APR.2021.57MaRDI QIDQ5055327zbMATH OpenOpenAlexFDO

Authors

Publication date 13 December 2022

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.13595

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsnonlinear partial differential systemsingular/switching stochastic control problem

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Stochastic systems in control theory (general) (93E03)

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 $C^{0,1}cap{W}_{loc}^{2,infty}$.

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Cited in

(3)

• On singular control problems with state constraints and regime-switching: a viscosity solution approach
• A stochastic control problem with regime switching
• A mixed singular/switching control problem with terminal cost for modulated diffusion processes

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