A stochastic control problem with regime switching
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Publication:3384592
elliptic systemsgeneralized HJB equationHJB equationpartial differential equationsstochastic control
Boundary value problems for second-order elliptic systems (35J57) Dynamic programming in optimal control and differential games (49L20) Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)
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