Necessary and sufficient conditions of near‐optimality in a regime‐switching diffusion model

DOI10.1002/OCA.2571zbMath1472.93199OpenAlexW3000458931WikidataQ126334779 ScholiaQ126334779MaRDI QIDQ4994759

Zhen Wu, Min Li

Publication date: 22 June 2021

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2571

zbMATH Keywords

necessary and sufficient conditionsEkeland's variational principleregime-switchingstochastic near-optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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