9 papers
Model-Free Q-Learning for Infinite-Horizon Stochastic Linear Quadratic Problems with Regime Switching
Xinyue Zhang, Na Li, Xun Li +1
The paper develops model‑free Q‑learning algorithms that learn optimal controllers for infinite‑horizon continuous‑time stochastic linear‑quadratic problems with regime switching,…
Inverse Optimal Control for Linear Quadratic Problem with Poisson Jumps: Model-Free Inverse Reinforcement Learning Approaches
Wen Du, Na Li, Xun Li +1
This paper addresses the inverse optimal control (IOC) problem for stochastic linear systems subject to both Brownian motion and Poisson jumps, using an inverse reinforcement learn…
Stochastic LQ Optimal Control with Random Coefficients and a Terminal Mean-Field Cost
Guojiang Shao, Zuo Quan Xu, Qi Zhang
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the c…
-robust utility maximization with intractable claims: A quantile optimization approach
Xinyu Chen, Zuo Quan Xu
This paper studies an -robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but un…
Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
Chonghu Guan, Zuo Quan Xu
We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cramér-Lundberg model. The dividend rate is subject to a ratcheting con…
Linear-quadratic mixed Stackelberg-zero-sum game for mean-field regime switching system
Pengyan Huang, Na Li, Zuo Quan Xu +1
Motivated by a product pricing problem, a linear-quadratic Stackelberg differential game for a regime switching system involving one leader and two followers is studied. The two fo…