This paper studies a stochastic control problem with regime switching in a fairly general abstract setting. Such problems may arise from production planning management. We perform a full mathematical analysis of this stochastic control problem via the HJB equation and verification. The connection of the optimal controls and subgame perfect controls is discussed, and it is shown that the optimal controls solve the generalized HJB equation as well. In a special case we provide a closed form solution.
A stochastic control problem with regime switching
Covei, Dragoş-Pătru and Pirvu, Traian A.
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carpathian_2021_37_3_427_440Additional Information
Author(s) | Covei, Dragoş-Pătru, Pirvu, Traian A. |
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DOI | https://doi.org/10.37193/CJM.2021.03.06 |
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Authors
Abbas, Mujahid
Acu, Dumitru
Balaj, Mircea
Berinde, Mădălina
Berinde, Vasile
Bărbosu, Dan
Chidume, C. E.
Cho, Yeol Je
Choban, Mitrofan M.
Coroian, Iulian
Cosma, Ovidiu
Cristescu, Gabriela
Diudea, Mircea V.
Fukhar-ud-din, Hafiz
Gaidici, A.
Horvat-Marc, Andrei
Ioanoviciu, Aurel
Khan, Abdul Rahim
Kozma, Lidia Elena
Kumam, Poom
Lungu, Nicolaie
Marin, Marin
Megan, Mihail
Mortici, Cristinel
Mureșan, Anton S.
Mureșan, Viorica
Pişcoran, Laurian-Ioan
Pop, Adina
Pop, Maria Sânziana
Pop, Nicolae
Pop, Ovidiu T.
Pop, Petrică Claudiu
Pop, Vasile
Popa, Dorian
Popa, Valeriu
Pop Sitar, Corina
Păcurar, Mădălina
Păvăloiu, Ion
Rus, Ioan A.
Rusu, Cristian
Sass, Istvan Huba Attila
Suantai, Suthep
Tașcu, Ioana
Yao, Jen-Chih
Zelina, Ioana
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