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20242026
most citedOpen-loop and closed-loop solvabilities for zero-sum stochastic linear quadratic differential games of Markovian regime switching system

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math.OC2026

Closed-loop solvability of infinite-horizon stochastic linear-quadratic problem for Markov regime-switching jump-diffusion system

Kai Ding, Fan Wu, Jie Xiong +1

This paper investigates a class of stochastic linear-quadratic (SLQ) control problems over an infinite horizon for Markov regime-switching jump-diffusion systems. Unlike classical…