中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
Time-Inconsistent Stochastic LQ Problem with Regime Switching

文献类型：期刊论文

作者Si, Binbin2,3; Ni, Yuan-Hua2,3; Zhang, Ji-Feng1,4
刊名JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
出版日期2020-08-04
页码22
ISSN号1009-6124
关键词Forward-backward stochastic difference equation open-loop equilibrium control regime switching stochastic linear-quadratic problem time inconsistency
DOI10.1007/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
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.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
2.Nankai Univ, Coll Artificial Intelligence, Tianjin 300350, Peoples R China
3.Key Lab Intelligent Robot Tianjin, Tianjin 300350, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, 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.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。