Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
From MaRDI portal
Publication:6042799
Abstract: This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and the weighting matrices of the cost functional are random. We prove the solvability of the stochastic Riccati equation under the uniform convexity condition and obtain the closed-loop representation of the open-loop optimal control using the unique solvability of the corresponding stochastic Riccati equation. Moreover, by applying It^{o}'s formula with jumps, we get a representation of the cost functional on a Hilbert space, characterized as the adapted solutions of some forward-backward stochastic differential equations. We show that the necessary condition of the open-loop optimal control is the convexity of the cost functional, and the sufficient condition of the open-loop optimal control is the uniform convexity of the cost functional. In addition, we study the properties of the stochastic value flow of the stochastic linear-quadratic optimal control problem. Finally, as an application, we present a continuous-time mean-variance portfolio selection problem and prove its unique solvability.
Recommendations
- Stochastic linear quadratic optimal control problems with random coefficients
- Stochastic linear-quadratic control with a jump and regime switching on a random horizon
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Quadratic optimal control of switched linear stochastic systems
- scientific article; zbMATH DE number 6481331
- Stochastic linear quadratic optimal control problems
- Stochastic linear quadratic control problem of switching systems with constraints
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
Cites work
- scientific article; zbMATH DE number 1642346 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
- Equilibrium strategies for time-inconsistent stochastic switching systems
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
- 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
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- 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
- Multidimensional Backward Stochastic Riccati Equations and Applications
- Near-optimal controls of random-switching LQ problems with indefinite control weight costs
- On nearly optimal controls of hybrid LQG problems
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- Partial Information Linear Quadratic Control for Jump Diffusions
- Quadratic risk minimization in a regime-switching model with portfolio constraints
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
- Systems of ergodic BSDEs arising in regime switching forward performance processes
- The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
Cited in
(14)- A note on an LQG regulator with Markovian switching and pathwise average cost
- Stochastic linear quadratic optimal control problems with random coefficients
- Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
- Linear-quadratic optimal control under non-Markovian switching
- Linear quadratic Gaussian homing for Markov processes with regime switching and applications to controlled population growth/decay
- Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
- Non-homogeneous stochastic LQ control with regime switching and random coefficients
- Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
- The Linear Quadratic Optimization Problems for a Class of Linear Stochastic Systems With Multiplicative White Noise and Markovian Jumping
- Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
- Stochastic linear-quadratic control with a jump and regime switching on a random horizon
- Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
This page was built for publication: Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6042799)
