期刊
MATHEMATICS
卷 10, 期 21, 页码 -出版社
MDPI
DOI: 10.3390/math10214062
关键词
stochastic linear-quadratic optimal control; Poisson random measure; backward stochastic differential equation with Poisson jumps; Riccati integral-differential equation; closed-loop solvability
类别
资金
- National Natural Science Foundations of China [11971266, 11831010]
- Shandong Provincial Natural Science Foundations [ZR2020ZD24, ZR2019ZD42]
This paper discusses the stochastic linear-quadratic optimal control problem with Poisson jumps and introduces the concept of closed-loop strategies. The optimal closed-loop strategy is characterized by specific equations and demonstrated through a simple example.
The stochastic linear-quadratic optimal control problem with Poisson jumps is addressed in this paper. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed to be indefinite. The notion of closed-loop strategies is introduced, and the sufficient and necessary conditions for the closed-loop solvability are given. The optimal closed-loop strategy is characterized by a Riccati integral-differential equation and a backward stochastic differential equation with Poisson jumps. A simple example is given to demonstrate the effectiveness of the main result.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据