Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
Assuming a quite general quadratic cost functional, the authors investigate the open-loop and weak closed-loop solvabilities of the optimal control problem for the \(n\)-dimensional process \(\{X_s; t\le s\le T\}\) solving \[ dX_s= [A(s,\alpha_s)X_s+ B(s,\alpha_s)u_s+ b_s]\,d_s+ [C(s,\alpha_s)\,X_s+ D(s,\alpha_s)u_s+ \sigma_s]\,dW_s, \] \(t\le s\le T\), \(X_t= x\), \(\alpha_t= I\), where \(\alpha\) is a Markov chain with a finite number of states, \(u\) the control process, \(A\) and \(C\) are \(n\times n\)-matrices, \(B\) and \(D\) are \(n\times m\)-matrices, \(b\) and \(a\) are \(n\)-dimensional vectors, and \(W\) is standard one-dimensional Brownian motion. Using the perturbation approach by \textit{J. Sun} et al. [SIAM J. Control Optim. 54, No. 5, 2274--2308 (2016; Zbl 1347.49033)], an alternative characterization of the open-loop solvability is given. Then, extending the result by \textit{H. Wang} et al. [Discrete Contin. Dyn. Syst. 39, No. 5, 2785--2805 (2019; Zbl 1410.93149)], it is shown how to obtain a weak closed-loop optimal strategy. Finally, the equivalence of open-loop solvability and weak closed-loop solvability is established, thus completing research by \textit{X. Zhang}, \textit{X. Li} and \textit{J. Xiong} [``Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markov regime-switching system, ESAIM: COCV 27, Article No. 69, 35 p. (2021; \url{doi:10.1051/cocv/2021066})]. A non-trivial example illustrating the results is provided.
- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
- Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Necessary conditions in stochastic linear quadratic problems and their applications
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Non-equivalence of stochastic optimal control problems with open and closed loop controls
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Necessary and sufficient conditions of near-optimality in a regime-switching diffusion model
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
- A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- Anticipated backward stochastic differential equations with quadratic growth
- Backward doubly stochastic Volterra integral equations and their applications
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Equilibrium strategies for time-inconsistent stochastic switching systems
- scientific article; zbMATH DE number 3181381 (Why is no real title available?)
- scientific article; zbMATH DE number 3682726 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 7618596 (Why is no real title available?)
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
- Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
- Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems
- Jump linear quadratic Gaussian control in continuous time
- Linear quadratic stochastic differential games: open-loop and closed-loop saddle points
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
- Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
- Near-optimal controls of random-switching LQ problems with indefinite control weight costs
- On a Matrix Riccati Equation of Stochastic Control
- On nearly optimal controls of hybrid LQG problems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
- Partial Information Linear Quadratic Control for Jump Diffusions
- Portfolio selection in the enlarged Markovian regime-switching market
- Quadratic risk minimization in a regime-switching model with portfolio constraints
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Sufficient stochastic maximum principle in a regime-switching diffusion model
- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
- Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
- Mean-field backward stochastic differential equations driven by fractional Brownian motion
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Backward doubly stochastic Volterra integral equations and their applications
- Mixed linear quadratic stochastic differential leader-follower game with input constraint
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Linear-quadratic optimal control under non-Markovian switching
- An iterative algorithm for coupled Riccati equations in continuous-time Markovian jump linear systems
- General indefinite backward stochastic linear-quadratic optimal control problems
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
- Stochastic optimal control problems of discrete‐time Markov jump systems
- Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
- Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
- Maximum principle of stochastic optimal control problems with model uncertainty
- Linear-convex partially observed optimal control problem with Markov chain and input constraint
- Weak closed-loop solvability of linear quadratic stochastic optimal control problems with partial information
- Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
This page was built for publication: Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2045127)
