Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
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Publication:3383275
DOI10.1051/cocv/2021066zbMath1473.49040arXiv1809.01891OpenAlexW3172834523MaRDI QIDQ3383275
Publication date: 23 September 2021
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.01891
Riccati equationslinear quadratic optimal controlopen-loop solvabilityclosed-loop solvabilityMarkovian regime switching
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)
Related Items (5)
Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System ⋮ Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps ⋮ Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Linear-quadratic stochastic leader-follower differential games for Markov jump-diffusion models
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