OPTIMAL SINGULAR CONTROL PROBLEM IN INFINITE HORIZON FOR STOCHASTIC PROCESSES WITH REGIME-SWITCHING

Feng, Q; Shao, JH

Feng, Q (corresponding author), Tianjin Univ, Ctr Appl Math, Tianjin 300072, Peoples R China.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021; 59 (2): 906

Abstract

We develop the compactification method to prove the existence of an optimal control for multidimensional stochastic processes with regime-switching. W......

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