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math.PR2024
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions and Markov chain
Tian Chen, Xijun Hu, Zhen Wu
In this paper, we study the eigenvalue problem of stochastic Hamiltonian system driven by Brownian motion and Markov chain with boundary conditions and time-dependent coefficients.…
math.OC2024
Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
Tian Chen, Guanxu Li, Zhen Wu
In this paper, we consider the mean field optimal switching problem with a Markov chain under viscosity solution notion. Based on the conditional distribution of the Markov chain,…