A stochastic control problem with regime switching

DOI10.37193/CJM.2021.03.06zbMath1488.93186MaRDI QIDQ3384592

Dragos-Patru Covei, Traian A. Pirvu

Publication date: 15 December 2021

Published in: Carpathian Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic controlelliptic systemspartial differential equationsHJB equationgeneralized HJB equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Boundary value problems for second-order elliptic systems (35J57) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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