{
  "id": "2006.13595",
  "version": "v1",
  "published": "2020-06-24T10:19:06.000Z",
  "updated": "2020-06-24T10:19:06.000Z",
  "title": "On a mixed singular/switching control problem with multiples regimes",
  "authors": [
    "Mark Kelbert",
    "Harold A. Moreno-Franco"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "This paper studies the mixed singular/switching stochastic control problem for a multidimensional diffusion with multiples regimes in a bounded domain. Using probabilistic, partial differential equation (PDE) and penalized 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 $\\hol^{0,1}\\cap\\sob^{2,\\infty}_{\\loc}$.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-06-24T10:19:06.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "49L99",
      "93E20",
      "60G40"
    ],
    "keywords": [
      "mixed singular/switching control problem",
      "multiples regimes",
      "value function",
      "mixed singular/switching stochastic control problem",
      "partial differential equation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}