Time-Inconsistent Stochastic LQ Problem with Regime Switching

被引：0
|
作者：
SI Binbin [1 ,2 ]
NI Yuan-Hua [1 ,2 ]
ZHANG Ji-Feng [3 ,4 ]
机构：
[1] College of Artificial Intelligence, Nankai University
[2] Key Laboratory of Intelligent Robotics of Tianjin
[3] Key Laboratory of Systems and Control, Academy of Mathematics and Systems Science, Chinese Academy ofSciences
[4] School of Mathematical Sciences, University of Chinese Academy of Sciences
来源：
Journal of Systems Science & Complexity | 2020年 / 33卷 / 06期
基金：
中国国家自然科学基金; 国家重点研发计划;
关键词：
D O I：
暂无
中图分类号：
O232 [最优控制]; O211.62 [马尔可夫过程];
学科分类号：
020208 ; 070103 ; 070105 ; 0711 ; 071101 ; 0714 ; 0811 ; 081101 ;
摘要：
This paper investigates a time-inconsistent stochastic linear-quadratic problem with regime switching that is characterized via a finite-state Markov chain. Open-loop equilibrium control is studied in this paper whose existence is characterized via Markov-chain-modulated forward-backward stochastic difference equations and generalized Riccati-like equations with jumps.
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页码：1733 / 1754
页数：22
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