4 papers · 1 filter
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…
Stochastic Riccati equations with jumps for indefinite linear-quadratic control: A stochastic value-flow approach
Kai Ding, Jiaqiang Wen, Jie Xiong +1
This paper studies the nonlinear matrix-valued stochastic Riccati equation with jumps (SRE-J) arising from indefinite stochastic linear-quadratic optimal control problems with rand…
Infinite horizon discounted LQ optimal control problems for mean-field switching diffusions
Kai Ding, Xun Li, Siyu Lv +1
This paper investigates an infinite horizon discounted linear-quadratic (LQ) optimal control problem for stochastic differential equations (SDEs) incorporating regime switching and…
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…