Xun Li

Stochastic linear-quadratic control problem for regime-switching jump-diffusion system and its application to finance

This paper investigates a stochastic linear-quadratic (SLQ) control problem for a regime-switching jump-diffusion system. Unlike traditional regime-switching diffusion systems that couple a diffusion process with a Markov chain, we incorporate the jumps of the Markov chain into the state equation. This modeling methodo...