Dynamic programming for a Markov-switching jump-diffusion

@article{Azevedo2014DynamicPF,
  title={Dynamic programming for a Markov-switching jump-diffusion},
  author={Nuno Azevedo and Diogo Pinheiro and Gerhard-Wilhelm Weber},
  journal={J. Computational Applied Mathematics},
  year={2014},
  volume={267},
  pages={1-19}
}
Abstract We consider an optimal control problem with a deterministic finite horizon and state variable dynamics given by a Markov-switching jump–diffusion stochastic differential equation. Our main results extend the dynamic programming technique to this larger family of stochastic optimal control problems. More specifically, we provide a detailed proof of Bellman’s optimality principle (or dynamic programming principle) and obtain the corresponding Hamilton–Jacobi–Belman equation, which turns… CONTINUE READING

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