2 papers
math.OC2026
On the Approximation of Optimal Control in Regime-Switching Diffusions
Somnath Pradhan, Dinesh Rathia
We study approximation and structural simplification of optimal control policies for controlled regime-switching diffusion processes for discounted, ergodic, finite-horizon, and ex…
math.OC2025
Robustness of optimal control for controlled regime-switching diffusions with incorrect models
Somnath Pradhan, Dinesh Rathia
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and disc…