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math.OC2025
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…
math.OC2025
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…