5 papers
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…
Continuous-time q-learning for Markov regime switching system under Tsallis entropy
Minghui Zhang, Xun Li, Xin Zhang
This paper studies the continuous-time q-learning (the continuous time counterpart of Q-learing) for Markov switching system under Tsallis entropy regularization. We address the di…
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…
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 `…
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…