Abstract
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.
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This research was supported in part by the National Key R&D Program of China under Grant No. 2018YFA0703800, and by the National Natural Science Foundation of China under Grant Nos. 61773222, 61877057 and 61973172.
This paper was recommended for publication by Editor LIU Yungang.
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Si, B., Ni, YH. & Zhang, JF. Time-Inconsistent Stochastic LQ Problem with Regime Switching. J Syst Sci Complex 33, 1733–1754 (2020). https://doi.org/10.1007/s11424-020-9017-z
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DOI: https://doi.org/10.1007/s11424-020-9017-z