2 citations · 4 across the 10 of their papers we have counts for
11 papers
Continuous-time q-learning for Markov regime switching system under Tsallis entropy
Minghui Zhang, Xun Li, Jie Xiong +1
This paper studies continuous-time q-learning (the continuous-time counterpart of Q-learning) for a Markov regime-switching system under Tsallis entropy regularization. The Tsallis…
Turnpike properties for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
Xun Li, Fan Wu, Xin Zhang
This paper investigates the long-time behavior of zero-sum stochastic linear-quadratic (SLQ) differential games within Markov regime-switching diffusion systems and establishes the…
An infinite horizon sufficient stochastic maximum principle for regime switching diffusions and applications
Kai Ding, Xun Li, Siyu Lv +1
This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interest…
Robust optimal stopping with regime switching
Siyu Lv, Zhen Wu, Jie Xiong +1
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programmin…
Open-loop and closed-loop solvabilities for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
Fan Wu, Xun Li, Xin Zhang
This paper investigates zero-sum stochastic linear quadratic (SLQ) differential games with Markovian jumps. Open-loop and closed-loop solvabilities are studied by employing a new `…
Zero-sum stochastic linear-quadratic Stackelberg differential games of Markovian regime-switching system
Fan Wu, Xun Li, Jie Xiong +1
This paper investigates a zero-sum stochastic linear-quadratic (SLQ, for short) Stackelberg differential game problem, where the coefficients of the state equation and the weightin…
Stochastic linear-quadratic differential game with Markovian jumps in an infinite horizon
Fan Wu, Xun Li, Jie Xiong +1
This paper investigates a two-person non-homogeneous linear-quadratic stochastic differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time-invar…
Two person non-zero-sum linear-quadratic differential game with Markovian jumps in infinite horizon
Fan Wu, Xun Li, Xin Zhang
This paper investigates an inhomogeneous non-zero-sum linear-quadratic (LQ, for short) differential game problem whose state process and cost functional are regulated by a Markov c…
Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon
Fan Wu, Xun Li, Xin Zhang
This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the -stability fra…
Stochastic Linear Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
Jiaqiang Wen, Xun Li, Jie Xiong +1
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and…
Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems of Markov Regime-Switching System
Xin Zhang, Xun Li
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the…