期刊
OPTIMIZATION
卷 71, 期 8, 页码 2315-2342出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/02331934.2020.1839072
关键词
Stochastic optimal control; dynamic programming; semi-Markov processes
资金
- PSC-CUNY research award - Professional Staff Congress [TRADA-46-251, TRADA-50-222]
- PSC-CUNY research award - City University of New York [TRADA-46-251, TRADA-50-222]
- Research Foundation of The City University of New York
In this paper, we study a stochastic optimal control problem with state variable dynamics described by a stochastic differential equation modulated by a semi-Markov process. We provide a detailed proof of the dynamic programming principle and show that the value function can be characterized as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We illustrate our results with an application to the generalization of Merton's optimal consumption-investment problem to financial markets with semi-Markov switching.
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 proof of the dynamic programming principle and use it to characterize the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We illustrate our results with an application to Mathematical Finance: the generalization of Merton's optimal consumption-investment problem to financial markets with semi-Markov switching.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据