4 papers · 1 filter
Turnpike Property of Mean-Field Linear-Quadratic Optimal Control Problems in Infinite-Horizon with Regime Switching
Hongwei Mei, Svetlozar Rachev, Rui Wang
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizon…
Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the larg…
Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the larg…
Infinite Horizon Mean-Field Linear-Quadratic Optimal Control Problems with Switching and Indefinite-Weighted Costs
Hongwei Mei, Rui Wang, Qingmeng Wei +1
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment.…