KMS Of Academy of mathematics and systems sciences, CAS
| Time-Inconsistent Stochastic LQ Problem with Regime Switching | |
| Si, Binbin1,2; Ni, Yuan-Hua1,2; Zhang, Ji-Feng3,4 | |
| 2020-08-04 | |
| 发表期刊 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| ISSN | 1009-6124 |
| 页码 | 22 |
| 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. |
| 关键词 | Forward-backward stochastic difference equation open-loop equilibrium control regime switching stochastic linear-quadratic problem time inconsistency |
| DOI | 10.1007/s11424-020-9017-z |
| 收录类别 | SCI |
| 语种 | 英语 |
| 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 |
| WOS类目 | Mathematics, Interdisciplinary Applications |
| WOS记录号 | WOS:000555391900014 |
| 出版者 | SPRINGER HEIDELBERG |
| 引用统计 | |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/51916 |
| 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.Key Lab Intelligent Robot Tianjin, Tianjin 300350, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, 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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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