1 citations · 1 across the 6 of their papers we have counts for
7 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…
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 `…
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…
Infinite time horizon stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
Sheng Luo, Xun Li, Qingmeng Wei
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backwar…
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…