A Stochastic Hybrid Optimal Control with Regime Switching and Recursive Cost Functional
Mathematical control and related fields(2024)
摘要
. An optimal control problem for a regime switching stochastic differential equation under continuous-time, switching and impulse controls with recursive cost functional is considered. Using the approach of dynamic programming, the corresponding Hamilton-Jacoobi-Bellman quasi-variational inequality is derived, to which the value function is proved to be the unique viscosity solution. Due to the appearance of all those kinds of controls, as well as the regime switching (governed by a Markov chain) and the recursive cost functional (determined by a backward stochastic Volterra integral equation), quite a few particular technical difficulties have to be overcome under some delicate conditions to prove the continuity of the value function.
更多查看译文
关键词
Continuous-time control,switching and impulse controls,regime switching,recursive cost functional,dynamic programming principle,Hamilton-Jacobi-Bellman quasi-variational inequality,viscosity solution
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要