Optimal Control with Noisy Time

DOI10.1109/TAC.2015.2444234MaRDI QIDQ2980660zbMATH OpenOpenAlexFDO

Authors Andrew Lamperski, Noah J. Cowan

Publication date 3 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.0202

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L'evy process. We provide dynamic programming results for continuous-time finite-horizon control and specialize these results to solve a noisy-time variant of the linear quadratic regulator problem and a portfolio optimization problem with random trade activity rates. For the linear quadratic case, the optimal controller is linear and can be computed from a generalization of the classical Riccati differential equation.

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