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...
| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2022
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11328/4110 |
| Country: | Portugal |
| Oai: | oai:repositorio.uportu.pt:11328/4110 |