On singular control problems with state constraints and regime-switching: a viscosity solution approach

DOI10.1016/j.automatica.2016.03.017zbMath1339.93126arXiv1208.5757OpenAlexW1958272982MaRDI QIDQ290828

Chao Zhu, Qingshuo Song

Publication date: 3 June 2016

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.5757

zbMATH Keywords

singular stochastic controlconstrained viscosity solutionquasi-variational inequalityregime-switching diffusionweak dynamic programming principle

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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