Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
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Publication:2045127
DOI10.1007/s00245-020-09653-8zbMath1476.93164arXiv1904.01442OpenAlexW3003209761MaRDI QIDQ2045127
Xun Li, Jiaqiang Wen, Jie Xiong
Publication date: 11 August 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.01442
Riccati equationopen-loop solvabilityweak closed-loop solvabilitystochastic linear quadratic optimal controlMarkovian regime switching
Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items (10)
Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability ⋮ Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System ⋮ Backward doubly stochastic Volterra integral equations and their applications ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Mixed linear quadratic stochastic differential leader-follower game with input constraint ⋮ Mean-field backward stochastic differential equations driven by fractional Brownian motion ⋮ General indefinite backward stochastic linear-quadratic optimal control problems ⋮ An iterative algorithm for coupled Riccati equations in continuous-time Markovian jump linear systems
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