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math.OC2019
The existence of optimal feedback controls for stochastic dynamical systems with regime-switching
Jinghai Shao
In this work we provide explicit conditions on the existence of optimal feedback controls for stochastic processes with regime-switching. We use the compactification method which n…
math.OC2019
The existence of optimal control for continuous-time Markov decision processes in random environments
Jinghai Shao, Kun Zhao
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the…