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math.OC2025
Optimal control of stochastic homogenous systems
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper investigates a new class of homogeneous stochastic control problems with cone control constraints, extending the classical homogeneous stochastic linear-quadratic (LQ) f…
math.OC2024
Constrained stochastic linear quadratic control under regime switching with controlled jump size
Xiaomin Shi, Zuo Quan Xu
In this paper, we examine a stochastic linear-quadratic control problem characterized by regime switching and Poisson jumps. All the coefficients in the problem are random processe…