论文标题
调制扩散过程的混合单数/开关控制问题与终端成本
A mixed singular/switching control problem with terminal cost for modulated diffusion processes
论文作者
论文摘要
在本文中，我们研究了与随机控制问题相关的价值函数的规律性，其中两个控件在调制的多维扩散过程中同时起作用。第一个是对随机时钟进行建模的开关控制。每次随机时钟环时，发电机矩阵都被另一个替换，从而导致调制扩散过程的有限状态马尔可夫链的动态不同。第二个是一个奇异的随机控制，该控制在每个制度内的过程中执行。
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.
