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| Ergodic Stochastic Maximum Principle with Markov Regime-Switching |
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Citation： |
Zhen WU,Honghao ZHANG.Ergodic Stochastic Maximum Principle with Markov Regime-Switching[J].Chinese Annals of Mathematics B,2025,46(4):521~546 |
| Page view： 9
Net amount： 5 |
Authors： |
Zhen WU; Honghao ZHANG |
Foundation： |
the National Key Research and Development Program of China (No. 2023YFA1009200); the National Natural Science Foundation of China (Nos. 11831010;
61961160732); the Shandong Provincial Natural Science Foundation (No. ZR2019ZD42) and the Taishan
Scholars Climbing Program of Shandong Grant (No. TSPD20210302). |
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| Abstract： |
This paper is concerned with the ergodic stochastic optimal control problemwith Markov Regime-Switching in a dissipative system. The proposed approach primarily relies on duality techniques. The control system is described by controlled dissipativestochastic differential equations and modulated by a continuous-time; finite-state Markovchain. The cost functional is ergodic; which is the expected long-run mean average type.The control domain is assumed to be convex; and the convex variation technique is used.Both necessary condition version and sufficient condition version of the stochastic maximum principle are established for optimal control. An example is discussed to illustratethe significance of our results. |
Keywords： |
Ergodic Stochastic maximum principle Markov regime-switching Backward
stochastic differential equation Dissipative systems Infinite horizon |
Classification： |
Ergodic Stochastic maximum principle; Markov regime-switching; Backward
stochastic differential equation; Dissipative systems; Infinite horizon |
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