{
  "id": "2211.13007",
  "version": "v1",
  "published": "2022-11-23T15:11:01.000Z",
  "updated": "2022-11-23T15:11:01.000Z",
  "title": "A mixed singular/switching control problem with gradient constraint and terminal cost for a modulated diffusion",
  "authors": [
    "Mark Kelbert",
    "Harold Moreno-Franco"
  ],
  "comment": "arXiv admin note: substantial text overlap with arXiv:2006.13595",
  "categories": [
    "math.OC"
  ],
  "abstract": "In this paper, we study the regularity of the value function associated with a stochastic control problem where two controls act simultaneously on a modulated multidimensional diffusion process. The first is a switching control modelling a random clock. Every time the random clock rings, the generator matrix is replaced by another, resulting in a different dynamic for the finite state Markov chain of the modulated diffusion process. The second is a singular stochastic control that is executed on the process within each regime.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2022-11-23T15:11:01.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "mixed singular/switching control problem",
      "modulated diffusion",
      "gradient constraint",
      "terminal cost",
      "finite state markov chain"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}