Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system*

Wen, JQ; Li, X; Xiong, J

Xiong, J (corresponding author), Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China.

ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2021; 27 ():

Abstract

This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. The representati......

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