Closed-loop solvability of infinite-horizon stochastic linear-quadratic problem for Markov regime-switching jump-diffusion system
This paper investigates a class of stochastic linear-quadratic (SLQ) control problems over an infinite horizon for Markov regime-switching jump-diffusion systems. Unlike classical diffusion models modulated by a Markov chain, we assume that the state process undergoes abrupt jumps that are synchronous with the regime s...