Near-optimal controls of differential systems with switching and random jumps subject to fast switching and wideband noise perturbation

DOI10.1007/s10255-016-0550-4zbMath1338.49039OpenAlexW2335842646MaRDI QIDQ272784

F. Blanchet-Sadri, M. Dambrine

Publication date: 21 April 2016

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0550-4

zbMATH Keywords

regime switchingdifferential systemsmartingale problemcontinuous-time Markov chainjump-diffusionnear-optimal controlsrelaxed controlwideband noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Continuous-time Markov processes on discrete state spaces (60J27) Existence of optimal solutions to problems involving randomness (49J55)

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