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SUMMARY:On a mixed singular/switching control problem with multiple regime
 s - Mark Kelbert (Higher School of Economics\, Moscow\, Swansea University
 )
DTSTART:20220404T161500Z
DTEND:20220404T171500Z
UID:TALK170141@talks.cam.ac.uk
DESCRIPTION: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 penalizatio
 n techniques\,we show that the value function associated with this problem
  agrees with thesolution to a Hamilton-Jacobi-Bellman (HJB) equation. In t
 hat way\, we seethat the regularity of the value function.
LOCATION:Seminar Room 2\, Newton Institute
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