Preprint
Aug 2026
Indefinite Stochastic Linear-Quadratic Optimal Control Problem for a Markov Regime-Switching Model
This paper investigates an indefinite stochastic linear-quadratic (SLQ) control problem with parameters subject to Markov regime-switching. Based on the well-posedness of the SLQ problem, we introduce a relaxed compensator that extends SLQ control problems from the positive definite case to the indefinite case. We anal...
Na Li, Yilin Wei, Harry Zheng
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