On a mixed singular/switching control problem with multiples regimes
| Autor: | Kelbert, Mark, Moreno-Franco, Harold A. |
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| Rok vydání: | 2020 |
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| Druh dokumentu: | Working Paper |
| Popis: | 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 the value function associated with this problem agrees with the solution to a Hamilton-Jacobi-Bellman (HJB) equation. In that way, we see that the regularity of the value function is $C^{0,1}\cap\W^{2,\infty}_{loc}$. |
| Databáze: | arXiv |
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