Journal article
A stochastic control problem with regime switching
Abstract
This paper studies a stochastic control problem with regime switching in a fairly general abstract setting. Such problems may arise from production planning management. We perform a full mathematical analysis of this stochastic control problem via the HJB equation and verification. The connection of the optimal controls and subgame perfect controls is discussed, and it is shown that the optimal controls solve the generalized HJB equation as …
Authors
COVEI D; PIRVU TA
Journal
Carpathian Journal of Mathematics, Vol. 37, No. 3, pp. 427–440
Publisher
Technical University of Cluj Napoca, North University Center of Baia Mare
DOI
10.37193/cjm.2021.03.06
ISSN
1584-2851