# On a switching control problem with c\`adl\`ag costs

## TL;DR

This paper investigates a switching control problem with discontinuous, cdlg costs, providing characterizations of the optimal cost, existence of optimal policies, and connections to backward stochastic differential equations and PDE systems.

## Contribution

It introduces new characterizations of the optimal cost function and establishes the existence of optimal control policies for switching problems with discontinuous costs.

## Key findings

- Characterization of the optimal cost function
- Existence of mbda-optimal control policies
- Connection to backward stochastic differential equations and PDEs

## Abstract

This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function as well as the existence of "-optimal control policies. As a by-product, we also study the existence and uniqueness of solutions of a system of backward stochastic differential equations whose barriers (or obstacles) are discontinuous (in fact of c\`adl\`ag type) and depend itself on the unknown solution. At the last part of the paper, we study the case when an underlying diffusion is part of the dynamic of the system. In this special case, the optimal payoff becomes a weak solution of the HJB system of PDEs with obstacles which is of quasi-variational type. This paper is somehow a continuation of the papers [8, 17] that consider continuous costs.