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of 349
pro vyhledávání: '"switching control problem"'
In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clo
Externí odkaz:
http://arxiv.org/abs/2211.13007
Publikováno v:
In Nonlinear Analysis: Hybrid Systems February 2024 51
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
Externí odkaz:
http://arxiv.org/abs/2006.13595
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function as well as
Externí odkaz:
http://arxiv.org/abs/1907.03401
Publikováno v:
The Annals of Applied Probability, 2008 Jun 01. 18(3), 1164-1200.
Externí odkaz:
https://www.jstor.org/stable/25442662
Akademický článek
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Akademický článek
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Autor:
Mark Kelbert, Harold A. Moreno-Franco
Publikováno v:
Advances in Applied Probability. 54:743-782
This paper studies a mixed singular/switching stochastic control problem for a multidimensional diffusion with multiple regimes on a bounded domain. Using probabilistic partial differential equation and penalization techniques, we show that the value
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a04bfdb5da7bd95a3fa5060cfcbfb8d9
https://doi.org/10.1017/apr.2021.57
https://doi.org/10.1017/apr.2021.57
Autor:
Hamadène, Said1 (AUTHOR), Jasso-Fuentes, Héctor2 (AUTHOR) hjasso@math.cinvestav.mx, Osorio-Agudelo, Yamid A.2 (AUTHOR)
Publikováno v:
Stochastics: An International Journal of Probability & Stochastic Processes. Jan2022, Vol. 94 Issue 1, p51-85. 35p.
Publikováno v:
Stochastics. 94:51-85
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several char...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ba7c35ec74fad3097f2925b5b3fc318
https://doi.org/10.1080/17442508.2021.1914618
https://doi.org/10.1080/17442508.2021.1914618