Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/91518
| Title: | Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system | Authors: | Zhang, X Li, X Xiong, J |
Issue Date: | 2021 | Source: | ESAIM. Control, optimisation and calculus of variations, 2021, v. 27, 69 | Abstract: | This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markovian regime switching system is derived by the technique of Itô's formula with jumps. For the stochastic LQ optimal control problem of Markovian regime switching system, we establish the equivalence between the open-loop (closed-loop, resp.) solvability and the existence of an adapted solution to the corresponding forward-backward stochastic differential equation with constraint. (i.e., the existence of a regular solution to Riccati equations). Also, we analyze the interrelationship between the strongly regular solvability of Riccati equations and the uniform convexity of the cost functional. Finally, we present an example which is open-loop solvable but not closed-loop solvable. | Keywords: | Closed-loop solvability Linear quadratic optimal control Markovian regime switching Open-loop solvability Riccati equations |
Publisher: | EDP Sciences | Journal: | ESAIM. Control, optimisation and calculus of variations | ISSN: | 1292-8119 | EISSN: | 1262-3377 | DOI: | 10.1051/cocv/2021066 | Rights: | © The authors. Published by EDP Sciences, SMAI 2021 This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The following publication Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system Xin Zhang, Xun Li and Jie Xiong ESAIM: COCV, 27 (2021) 69 is available at https://doi.org/10.1051/cocv/2021066 |
| Appears in Collections: | Journal/Magazine Article |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| cocv200064.pdf | 580.03 kB | Adobe PDF | View/Open |
Access
View full-text via PolyU eLinks 
Page views
42
Last Week
0
0
Last month
Citations as of May 28, 2023
Downloads
2
Citations as of May 28, 2023
SCOPUSTM
Citations
4
Citations as of Jun 1, 2023
WEB OF SCIENCETM
Citations
3
Citations as of Jun 1, 2023
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.