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Author

Xinyu Zhang

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Preprint Jul 2026

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...

Kai Ding, Fan Wu, Jie Xiong et al. · 0 citations
Preprint Jul 2026

Model-Free Q-Learning for Infinite-Horizon Stochastic Linear Quadratic Problems with Regime Switching

On-policy and off-policy Q-learning algorithms that learn the optimal controller solely from online state trajectory data are developed, specifically developing on-policy and off-policy Q-learning algorithms that learn the optimal controller solely from online state trajectory data.

Xinyu Zhang, Na Li, Xun Li et al. · 0 citations

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