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- W4281285890 abstract "Abstract We consider an optimal control problem for a class of stochastic singular affine systems with Markovian jumps. We establish the existence and uniqueness of the solution to stochastic singular affine systems with Markovian jumps for the first time. Via square completion technique and the generalized Itô’s formula, we derive new kinds of generalized differential Riccati equations (GDREs) and generalized backward differential equations (GBDEs), which give sufficient conditions for the well-posedness of the optimal control problem, and present an explicit representation of optimal control. Also, we discuss the solvability of the GDREs in two cases. As an application, we present a leader-follower differential game to demonstrate the practicability of our results." @default.
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- W4281285890 date "2022-05-23" @default.
- W4281285890 modified "2023-09-26" @default.
- W4281285890 title "Optimal control of stochastic singular affine systems with Markovian jumps" @default.
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- W4281285890 doi "https://doi.org/10.1186/s13660-022-02804-1" @default.
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