An Infinite Horizon Sufficient Stochastic Maximum Principle for Regime-Switching Diffusions and Applications

Keyphrases

• Infinite Horizon 100%
• Switching Application 100%
• Stochastic Maximum Principle 100%
• Regime-switching Diffusion 100%
• Production Planning Problem 33%
• Optimal Control 33%
• Value Function 33%
• Numerical Experiments 33%
• Markov Chain 33%
• Asymptotic Properties 33%
• Dual Method 33%
• Convexity Condition 33%
• Maximum Principle 33%
• Linear Quadratic 33%
• Backward Stochastic Differential Equation 33%
• Stochastic Optimal Control Problems 33%
• Global Well-posedness 33%
• Algebraic Riccati Equation 33%
• Explicit Feedback 33%
• Nonnegative Solutions 33%
• Forward Stochastic Differential Equations 33%
• Optimal Production Rate 33%
• Quadratic Production 33%

Mathematics

• Stochastics 100%
• Maximum Principle 100%
• Asymptotic Property 33%
• Stochastic Differential Equation 33%
• Nonnegative Solution 33%
• Optimal Control Theory 33%
• Numerical Experiment 33%
• Posedness 33%
• Optimal Control Problem 33%
• Markov Chain 33%
• Riccati Equation 33%