2 papers
math.OC2026
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…
math.OC2025
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…