论文标题
在混合的单数/开关控制问题上与倍数制度
On a mixed singular/switching control problem with multiples regimes
论文作者
论文摘要
本文研究了{a}混合奇异/开关随机控制问题，用于在有界域上与多倍数的多维扩散。使用概率，部分微分方程（PDE）和惩罚技术，我们表明与此问题相关的价值函数与汉密尔顿 - 雅各比 - 贝尔曼（HJB）方程的解决方案一致。这样，我们看到值函数的规律性为$ c^{0,1} \ cap \ w^{2，\ infty} _ {loc} $。
This paper studies {a} mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes on a bounded domain. Using probabilistic, partial differential equation (PDE) and penalization techniques, we show that the value function associated with this problem agrees with the solution to a Hamilton-Jacobi-Bellman (HJB) equation. In that way, we see that the regularity of the value function is $C^{0,1}\cap\W^{2,\infty}_{loc}$.
