Geodesic
Optimal control of jump-diffusion processes with random parameters
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 3 (2022), pp. 22-29 
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/
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Voir la notice de l'article provenant de la source Math-Net.Ru

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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