Author:
Hu Ying,Shi Xiaomin,Xu Zuo Quan
Abstract
This paper is concerned with a stochastic linear-quadratic (LQ) optimal control problem on infinite time horizon, with regime switching, random coefficients, and cone control constraint. To tackle the problem, two new extended stochastic Riccati equations (ESREs) on infinite time horizon are introduced. The existence of the nonnegative solutions, in both standard and singular cases, is proved through a sequence of ESREs on finite time horizon. Based on this result and some approximation techniques, we obtain the optimal state feedback control and optimal value for the stochastic LQ problem explicitly. Finally, we apply these results to solve a lifetime portfolio selection problem of tracking a given wealth level with regime switching and portfolio constraint.
Funder
National Natural Science Foundation of China
Natural Science Foundation of Shandong Province
Lebesgue Center of Mathematics
ANR CAESARS
ANR MFG
Hong Kong GRF
Colleges and Universities Youth Innovation Technology Program of Shandong Province
Subject
Computational Mathematics,Control and Optimization,Control and Systems Engineering
Cited by
4 articles.
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