Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
DOI10.1137/22m1481415zbMath1512.49033arXiv2202.04880OpenAlexW4367307620MaRDI QIDQ6042799
Xin Zhang, Jie Xiong, Jiaqiang Wen, Xun Li
Publication date: 4 May 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.04880
stochastic Riccati equationmean-variance portfolio selectionrandom coefficientstochastic linear-quadratic optimal controlMarkovian regime switching
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Near-optimal controls of random-switching LQ problems with indefinite control weight costs
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
- A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
- Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints
- Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
- The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Multidimensional Backward Stochastic Riccati Equations and Applications
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- On nearly optimal controls of hybrid LQG problems
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes
- Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
- Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients
- Partial Information Linear Quadratic Control for Jump Diffusions
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
This page was built for publication: Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
