Optimal switching for alternating processes |
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Authors: | Hiroaki Morimoto |
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Institution: | (1) Department of Mathematics, Faculty of General Education, Ehime University, 790 Matsuyama, Japan |
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Abstract: | This paper is concerned with the problems of optimal switching for general stochastic processes. We show the existence of the maximal element of a class of dynamic programming inequalities by the method of impulsive control. We obtain results on the existence of optimal control for general and cyclic switching problems. |
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