Optimal switching with constraints and utility maximization of an indivisible market

DOI10.1137/10080823XMaRDI QIDQ2903497zbMATH OpenOpenAlexFDO

Authors Qingshuo Song, Chao Zhu

Publication date 10 August 2012

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/10080823x

zbMATH Keywords

dynamic programmingdiffusionquasi-variational inequalityutility maximizationviscosity solutionsample pathsoptimal switchingindivisible market

Mathematics Subject Classification ID

Diffusion processes (60J60) Utility theory (91B16) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Sample path properties (60G17) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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• Optimal drift rate control and impulse control for a stochastic inventory/production system
• Strong solutions and strong Feller properties for regime-switching diffusion processes in an infinite state space
• Constrained optimality for controlled switching diffusions with an application to stock purchasing
• Continuous dependence for stochastic functional differential equations with state-dependent regime-switching on initial values
• Invariant probability measures for path-dependent random diffusions
• Ergodicity of regime-switching functional diffusions with infinite delay and application to a numerical algorithm for stochastic optimization
• Numerical solutions of regime-switching functional diffusions with infinite delay
• Optimal debt ratio and consumption strategies in financial crisis
• Weak convergence of path-dependent SDEs in basket credit default swap pricing with contagion risk

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