Geodesic
Optimal control of jump-diffusion processes with random parameters
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 3 (2022), pp. 22-29

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Let $X(t)$ be a controlled jump-diffusion process starting at $x \in [a,b]$ and whose infinitesimal parameters vary according to a continuous-time Markov chain. The aim is to minimize the expected value of a cost function with quadratic control costs until $X(t)$ leaves the interval $(a,b)$, and a termination cost that depends on the final value of $X(t)$. Exact and explicit solutions are obtained for important processes. 
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     author = {Mario Lefebvre},
     title = {Optimal control of jump-diffusion processes with random parameters},
     journal = {Buletinul Academiei de \c{S}tiin\c{t}e a Republicii Moldova. Matematica},
     pages = {22--29},
     publisher = {mathdoc},
     number = {3},
     year = {2022},
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     url = {http://geodesic.mathdoc.fr/item/BASM_2022_3_a2/}
}
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Mario Lefebvre. Optimal control of jump-diffusion processes with random parameters. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 3 (2022), pp. 22-29. http://geodesic.mathdoc.fr/item/BASM_2022_3_a2/