A mixed singular/switching control problem with terminal cost for modulated diffusion processes
DOI10.1016/j.nahs.2023.101439arXiv2211.13007OpenAlexW4387835006MaRDI QIDQ6122804
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Publication date: 1 March 2024
Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2211.13007
Hamilton-Jacobi-Bellman equationssingular/switching stochastic control problemmodulated multidimensional diffusion processnon-linear partial differential system
Control/observation systems governed by partial differential equations (93C20) Stochastic systems in control theory (general) (93E03) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Hamilton-Jacobi equations (35F21)
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