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arXiv · 2211.13007

A mixed singular/switching control problem with terminal cost for modulated diffusion processes

Mark Kelbert·Harold A. Moreno-Franco
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Abstract

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 clock. Every time the random clock rings, the generator matrix is replaced by another, resulting in a different dynamic for the finite state Markov chain of the modulated diffusion process. The second is a singular stochastic control that is executed on the process within each regime.

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Mark Kelbert, Harold A. Moreno-Franco. 2022-11-23. A mixed singular/switching control problem with terminal cost for modulated diffusion processes. https://arxiv.org/abs/2211.13007

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