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On a mixed singular/switching control problem with multiple regimes

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FDE2 - Fractional differential equations

We study a mixed singular/switching stochastic control problem for amultidimensional diffusion with multiple regimes on a bounded domain. Usingprobabilistic, partial differential equation (PDE) and penalization techniques,we show that the value function associated with this problem agrees with thesolution to a Hamilton-Jacobi-Bellman (HJB) equation. In that way, we seethat the regularity of the value function.

This talk is part of the Isaac Newton Institute Seminar Series series.

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