摘要
This paper investigates a time-inconsistent stochastic linear-quadratic problem with regime switching that is characterized via a finite-state Markov chain.Open-loop equilibrium control is studied in this paper whose existence is characterized via Markov-chain-modulated forward-backward stochastic difference equations and generalized Riccati-like equations with jumps.
基金
the National Key R&D Program of China under Grant No.2018YFA0703800
the National Natural Science Foundation of China under Grant Nos.61773222,61877057 and 61973172。
