The object of the investigation is a model of the incomplete financial market. It includes a
bank deposit with a known interest rate and basic risky securities. The instant interest rate …

This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem
of Markovian regime switching system. The representation of the cost functional for the …

In this paper, we consider the pricing of convertible bonds on a single underlying asset with
dividend yield in a regime-switching economy. The dynamics of the risky asset are assumed …

We study a portfolio selection problem in a continuous-time Itô–Markov additive market with
prices of financial assets described by Markov additive processes that combine Lévy …

This paper investigates a two-person non-homogeneous linear-quadratic stochastic
differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time …

This paper investigates the mean-field stochastic linear quadratic optimal control problem of
Markov regime switching system (M-MF-SLQ, for short). The representation of the cost …

In this article, we provide predictable and chaotic representations for Itô–Markov additive
processes X. Such a process is governed by a finite-state continuous time Markov chain J …

This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem
regulated by a time-invariant Markov chain in infinite horizon. Under the $ L^ 2$-stability …

This paper investigates a zero-sum stochastic linear quadratic (SLQ, for short) differential
games with Markovian jumps. Both open-loop and closed-loop solvabilities are studied by …

We establish sufficient conditions for the existence, and derive explicit formulas for the κ'th
moments, κ≥ 1, of Markov modulated generalized Ornstein–Uhlenbeck processes as well …