Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes
DOI10.1007/s11424-009-9151-0zbMath1178.93148OpenAlexW2037998783MaRDI QIDQ1044773
Publication date: 15 December 2009
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-009-9151-0
backward stochastic differential equationLévy processgeneralized stochastic Riccati equationstochastic linear quadratic optimal control
Sensitivity, stability, well-posedness (49K40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items (14)
Cites Work
- BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
- Reflected backward stochastic differential equation with jumps and random obstacle
- Chaotic and predictable representations for Lévy processes.
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
- Stochastic Hamilton–Jacobi–Bellman Equations
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- On a Matrix Riccati Equation of Stochastic Control
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes