Time-Inconsistent Stochastic LQ Problem with Regime Switching

doi:10.1007/s11424-020-9017-z

	Time-Inconsistent Stochastic LQ Problem with Regime Switching
	Si, Binbin 1,4; Ni, Yuan-Hua 1,4; Zhang, Ji-Feng 2,3
刊名	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
	2020-08-04
页码	22
关键词	Forward-backward stochastic difference equation open-loop equilibrium control regime switching stochastic linear-quadratic problem time inconsistency
ISSN号	1009-6124
DOI	10.1007/s11424-020-9017-z
英文摘要	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.
资助项目	National Key R&D Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61773222] ; National Natural Science Foundation of China[61877057] ; National Natural Science Foundation of China[61973172]
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000555391900014
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/51915]
专题	中国科学院数学与系统科学研究院
通讯作者	Ni, Yuan-Hua
作者单位	1.Nankai Univ, Coll Artificial Intelligence, Tianjin 300350, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 4.Key Lab Intelligent Robot Tianjin, Tianjin 300350, Peoples R China
推荐引用方式 GB/T 7714	Si, Binbin,Ni, Yuan-Hua,Zhang, Ji-Feng. Time-Inconsistent Stochastic LQ Problem with Regime Switching[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2020:22.
APA	Si, Binbin,Ni, Yuan-Hua,&Zhang, Ji-Feng.(2020).Time-Inconsistent Stochastic LQ Problem with Regime Switching.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,22.
MLA	Si, Binbin,et al."Time-Inconsistent Stochastic LQ Problem with Regime Switching".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2020):22.