Characterizes optimal cost and ε-optimal policies for switching control with càdlàg costs; proves existence/uniqueness for BSDEs with discontinuous barriers and weak HJB solutions in diffusion case.
Second Edition Springer-Verlag, New York 2000
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On a switching control problem with c\`adl\`ag costs
Characterizes optimal cost and ε-optimal policies for switching control with càdlàg costs; proves existence/uniqueness for BSDEs with discontinuous barriers and weak HJB solutions in diffusion case.