Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/91518
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dc.contributorDepartment of Applied Mathematics-
dc.creatorZhang, X-
dc.creatorLi, X-
dc.creatorXiong, J-
dc.date.accessioned2021-11-03T06:54:19Z-
dc.date.available2021-11-03T06:54:19Z-
dc.identifier.issn1292-8119-
dc.identifier.urihttp://hdl.handle.net/10397/91518-
dc.language.isoenen_US
dc.publisherEDP Sciencesen_US
dc.rights© The authors. Published by EDP Sciences, SMAI 2021en_US
dc.rightsThis 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.en_US
dc.rightsThe 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/2021066en_US
dc.subjectClosed-loop solvabilityen_US
dc.subjectLinear quadratic optimal controlen_US
dc.subjectMarkovian regime switchingen_US
dc.subjectOpen-loop solvabilityen_US
dc.subjectRiccati equationsen_US
dc.titleOpen-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching systemen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.volume27-
dc.identifier.doi10.1051/cocv/2021066-
dcterms.abstractThis 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.-
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationESAIM. Control, optimisation and calculus of variations, 2021, v. 27, 69-
dcterms.isPartOfESAIM. Control, optimisation and calculus of variations-
dcterms.issued2021-
dc.identifier.scopus2-s2.0-85109214228-
dc.identifier.eissn1262-3377-
dc.identifier.artn69-
dc.description.validate202110 bcvc-
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_Scopus/WOSen_US
dc.description.pubStatusPublisheden_US
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