Dynamic programming for semi-Markov modulated SDEs
We consider a stochastic optimal control problem with state variable dynamics described by a stochastic differential equation of diffusive type modulated by a semi-Markov process with a finite state space. The time horizon is both deterministic and finite. Within such setup, we provide a detailed pr...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2022
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/11328/4110 |
| País: | Portugal |
| Oai: | oai:repositorio.uportu.pt:11328/4110 |