This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with random coefficients and regime switching in a finite time horizon where the state equation is multi-dimensional. Similar to the classical stochastic LQ problems, we establish the relationship between the stochastic LQ optimal control problems with regime switching and the related extended stochastic Riccati equations. To solve the extended stochastic Riccati equations, we construct a monotone Piccard iterative sequence and present the link between this sequence and solutions of a family of forward-backward stochastic differential equations. Relying on (L^p) estimates for FBSDEs, we show that the extended stochastic Riccati equation has a solution. This partially addresses one question left in Hu et al. (Ann. Appl. Probab. 32(1): 426-460, 2022). Finally, the stochastic LQ optimal control problems with regime switching is solved.
We study non-negative optimisers of a Gagliardo–Nirenberg-type inequality
We study the null controllability for a degenerate/singular wave equation with drift in non divergence form. In particular, considering a control localized on the non degenerate boundary point, we provide some conditions for the boundary controllability via energy methods and boundary observability.