Robust optimal R&D investment under technical uncertainty in a regime-switching environment

DOI10.1080/02331934.2020.1818745zbMath1489.91123OpenAlexW3087462701MaRDI QIDQ5085234

Ming-hui Wang, Nan-Jing Huang

Publication date: 27 June 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2020.1818745

zbMATH Keywords

research and developmentregime-switchingchange of measuresHJBI equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Production theory, theory of the firm (91B38) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic games, stochastic differential games (91A15) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

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