Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93826
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Si, K | en_US |
dc.creator | Xu, Z | en_US |
dc.creator | Yiu, KFC | en_US |
dc.creator | Li, X | en_US |
dc.date.accessioned | 2022-08-01T06:00:22Z | - |
dc.date.available | 2022-08-01T06:00:22Z | - |
dc.identifier.issn | 1553-166X | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/93826 | - |
dc.language.iso | en | en_US |
dc.publisher | American Institute of Mathematical Sciences | en_US |
dc.rights | This is an Open Access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). | en_US |
dc.rights | The following publication Kehan Si, Zhenda Xu, Ka Fai Cedric Yiu, Xun Li. Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system. Journal of Industrial and Management Optimization, 2022, 18 (4) : 2415-2433 is available at https://doi.org/10.3934/jimo.2021074. | en_US |
dc.subject | Linear quadratic optimal control | en_US |
dc.subject | Markov regime switching | en_US |
dc.subject | Mean-field | en_US |
dc.subject | Open-loop solvability | en_US |
dc.title | Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 2415 | en_US |
dc.identifier.epage | 2433 | en_US |
dc.identifier.volume | 18 | en_US |
dc.identifier.issue | 4 | en_US |
dc.identifier.doi | 10.3934/jimo.2021074 | en_US |
dcterms.abstract | This paper investigates the mean-field stochastic linear quadratic optimal control problem of Markov regime switching system (M-MF-SLQ, for short). The representation of the cost functional for the M-MF-SLQ is derived using the technique of operators. It is shown that the convexity of the cost functional is necessary for the finiteness of the M-MF-SLQ problem, whereas uniform convexity of the cost functional is sufficient for the open-loop solvability of the problem. By considering a family of uniformly convex cost functionals, a characterization of the finiteness of the problem is derived and a minimizing sequence, whose convergence is equivalent to the open-loop solvability of the problem, is constructed. We demonstrate with a few examples that our results can be employed for tackling some financial problems such as mean-variance portfolio selection problem. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Journal of industrial and management optimization, July 2022, v. 18, no. 4, p. 2415-2433 | en_US |
dcterms.isPartOf | Journal of industrial and management optimization | en_US |
dcterms.issued | 2022-07 | - |
dc.identifier.scopus | 2-s2.0-85132344967 | - |
dc.identifier.eissn | 1547-5816 | en_US |
dc.description.validate | 202208_bcww | en_US |
dc.description.oa | Version of Record | en_US |
dc.identifier.FolderNumber | OA_TA | - |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingSource | Others | en_US |
dc.description.fundingText | PolyU-SDU Joint Research Center | en_US |
dc.description.pubStatus | Published | en_US |
dc.description.TA | AIMS (2022) | en_US |
dc.description.oaCategory | TA | en_US |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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Si_Open-loop_Solvability_Mean-field.pdf | 521.35 kB | Adobe PDF | View/Open |
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