A stochastic optimal switching and impulse control problem in a finite horizon is studied. The continuity of the value function, which is by no means trivial, is proved. The Bellman dynamic programming principle is shown to be valid for such a problem. Moroever, the value function is characterized as the unique viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation.
No takes yet. Share an insight, caveat, or question.
Tang et al. (1993) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: