Constrained stochastic LQ control on infinite time horizon with regime switching

Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon

This paper is concerned with a stochastic linear-quadratic (LQ) control problem in the infinite time horizon where the control is constrained in a given, arbitrary closed cone, the cost weighting matrices are allowed to be indefinite, and the state is scalar-valued. First, the (meansquare, conic) stabilizability of the system is defined, which is then characterized by a set of simple conditions...

Infinite Horizon LQ Zero-Sum Stochastic Differential Games with Markovian Jumps

This paper studies a class of continuous-time two person zero-sum stochastic differential games characterized by linear Itô’s differential equation with state-dependent noise and Markovian parameter jumps. Under the assumption of stochastic stabilizability, necessary and sufficient condition for the existence of the optimal control strategies is presented by means of a system of coupled algebra...

Time delay model for the stochastic volatility with regime switching

Mixed Constrained Infinite Horizon Linear Quadratic Optimal Control

For a given initial state, a constrained infinite horizon linear quadratic optimal control problem can be reduced to a finite dimensional problem [12]. To find a conservative estimate of the size of the reduced problem, the existing algorithms require the on-line solutions of quadratic programs [10] or a linear program [2]. In this paper, we first show based on the Lyapunov theorem that the clo...

An Infinite Horizon Optimal Control Problem for Some Switching Systems