Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients (Q5212950)
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scientific article; zbMATH DE number 7160860
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| English | Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients |
scientific article; zbMATH DE number 7160860 |
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Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients (English)
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31 January 2020
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stochastic linear quadratic optimal control problem with jumps
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Poisson process
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dynamic programming
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Doob-Meyer decompostion
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backward stochastic Riccati differential equation with jumps
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optimal feedback control
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0.8630128502845764
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0.8590408563613892
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0.8543996214866638
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0.8457748889923096
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