Under uniform convexity, the stochastic Riccati equation with jumps has a unique strongly regular solution, enabling closed-loop representation of optimal controls in indefinite stochastic LQ problems with random coefficients and Poisson jumps.
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Necessary and sufficient conditions for Nash equilibria in LQ stochastic games with random coefficients are derived via convex analysis, FBSΔEs, and constrained Riccati equations that enable closed-loop feedback representations.
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Indefinite Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Poisson Jumps: Closed-Loop Representation of Open-Loop Optimal Controls
Under uniform convexity, the stochastic Riccati equation with jumps has a unique strongly regular solution, enabling closed-loop representation of optimal controls in indefinite stochastic LQ problems with random coefficients and Poisson jumps.
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Viscosity Solutions of Hamilton--Jacobi--Bellman Equations for Control Systems Driven by Teugels Martingales
Necessary and sufficient conditions for Nash equilibria in LQ stochastic games with random coefficients are derived via convex analysis, FBSΔEs, and constrained Riccati equations that enable closed-loop feedback representations.