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On a mixed singular/switching control problem with multiple regimes
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- Journal:
- Advances in Applied Probability / Volume 54 / Issue 3 / September 2022
- Published online by Cambridge University Press:
- 22 August 2022, pp. 743-782
- Print publication:
- September 2022
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This paper studies a mixed singular/switching stochastic control problem for a multidimensional diffusion with multiple regimes on a bounded domain. Using probabilistic partial differential equation and penalization techniques, we show that the value function associated with this problem agrees with the solution to a Hamilton–Jacobi–Bellman equation. In this way, we see that the regularity of the value function is
$ \textrm{C}^{0,1}\cap \textrm{W}^{2,\infty}_{\textrm{loc}}$
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A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL
- Part of
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- Journal:
- The ANZIAM Journal / Volume 58 / Issue 2 / October 2016
- Published online by Cambridge University Press:
- 08 September 2016, pp. 182-186
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