Solving Singular Control from Optimal Switching
نویسندگان
چکیده
منابع مشابه
Solving Singular Control from Optimal Switching
This report summarizes some of our recent work (Guo and Tomecek (2008b,a)) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.
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*Correspondence: [email protected] Department of Industrial Engineering, Anadolu University, Eskisehir, Turkey Institute of Control Systems, ANAS, Baku, Azerbaijan Abstract This paper is devoted to the optimal control problem of switching system in which constraints on the state variable are given by inclusions. Using Ekeland’s variational principle, second-order necessary condition of ...
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ژورنال
عنوان ژورنال: Asia-Pacific Financial Markets
سال: 2008
ISSN: 1387-2834,1573-6946
DOI: 10.1007/s10690-008-9071-3