Inverse optimal control of regime-switching jump diffusions

Abstract

This paper studies the inverse optimal control using Legendre-Fenchel (in short, LF) translation method for regime-switching jump diffusions. Our approach is to first design inverse pre-optimal stabilization controllers and then obtain inverse optimal stabilizers, which avoids solving a Hamilton-Jacobi-Bellman equation. Finally, an application to stochastic Hamiltonian systems with Markov regime-switching is studied in detail for illustration.