4 papers
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…
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…
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…