Constrained stochastic LQ control on infinite time horizon with regime switching

DOI10.1051/cocv/2021110zbMath1482.93703arXiv2104.11960OpenAlexW3159743116WikidataQ114011508 ScholiaQ114011508MaRDI QIDQ5024340

Ying Hu, Zuo Quan Xu, Xiao-Min Shi

Publication date: 31 January 2022

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.11960

zbMATH Keywords

regime switchingnonnegative solutionsinfinite time horizonstochastic LQ controlextended stochastic Riccati equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)

Related Items (2)

Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach ⋮ Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states

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