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arXiv · 1906.08425

The existence of optimal feedback controls for stochastic dynamical systems with regime-switching

Jinghai Shao
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Abstract

In this work we provide explicit conditions on the existence of optimal feedback controls for stochastic processes with regime-switching. We use the compactification method which needs less regularity conditions on the coefficients of the studied stochastic systems. Two different kinds of controls have been considered: one is the control on the coefficients of the diffusion processes, another is the control on the transition rate matrices of the continuous-time Markov chains. Moreover, the dynamic programming principle is established after showing the continuity of the value function.

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Jinghai Shao. 2019-06-20. The existence of optimal feedback controls for stochastic dynamical systems with regime-switching. https://arxiv.org/abs/1906.08425

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