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Speaker:Shao Jinghai, Professor, Center for Applied Mathematics, Tianjin University
Date:Dec 20, 2021
Location:Tencent Meeting, ID: 181 606 093
Sponsor:School of Mathematics, Shandong University
We develop the compactification method to prove the existence of an optimal control for multidimensional stochastic processes with regime-switching. We consider separately the situation with and without constraints. Three kinds of control policies are studied in this work: the classical controls on the drifts, the singular controls, and the controls on the transition rates of switching processes. Based on the existence of the optimal controls, the dynamic programming principle is also established.
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