Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps
Optimization and Control
2022-08-30 v1
Abstract
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed indefinite. The notion of closed-loop strategies is introduced, and the optimal closed-loop strategy is characterized by a Riccati integral-differential equation and a backward stochastic differential equation with Poisson jumps.
Cite
@article{arxiv.2208.13401,
title = {Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps},
author = {Zixuan Li and Jingtao Shi},
journal= {arXiv preprint arXiv:2208.13401},
year = {2022}
}
Comments
28 pages