TIME-INCONSISTENT STOCHASTIC LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEM UNDER NON-MARKOVIAN REGIME-SWITCHING JUMP-DIFFUSION MODEL

被引：0
|
作者：
Alia, Ishak [1 ]
Alia, Mohamed Sofiane [1 ]
机构：
[1] Ferhat Abbas Univ Set 1, Inst Opt & Precis Mech, Setif 19000, Algeria
来源：
MATHEMATICAL CONTROL AND RELATED FIELDS | 2024年 / 14卷 / 03期
关键词：
Key words and phrases; Linear-quadratic optimal control; time-inconsistent cost functional; non-exponential discounting; closed-loop equilibrium strategy; non-Markovian regime-switching; VARIANCE PORTFOLIO SELECTION; MAXIMUM PRINCIPLE; EQUILIBRIUM;
D O I：
10.3934/mcrf.2023030
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A general discounting time-inconsistent stochastic linear-quadratic optimal control problem is considered for a jump-diffusion stochastic differen-tial equation with random coefficients. Specially, all the weighting coefficients in the state equation as well as in the cost functional are assumed to be general stochastic processes adapted to the filtration generated by a Markov chain. Closed-loop equilibrium operator is studied in this paper whose existence is characterized in terms of the unique solution to a flow of regime-switching backward stochastic Riccati differential equations.
引用
收藏
页码：918 / 971
页数：54
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