Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients

DOI10.1137/18M1209684zbMATH Open1435.93181arXiv1808.08336OpenAlexW3004194202MaRDI QIDQ5212950FDOQ5212950

Authors: Fu Zhang, Yuchao Dong, Qingxin Meng 

Publication date: 31 January 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: In this paper, we investigate the solvability of matrix valued Backward stochastic Riccati equations with jumps (BSREJ), which is associated with a stochastic linear quadratic (SLQ) optimal control problem with random coefficients and driven by both Brownian motion and Poisson jumps. By dynamic programming principle, Doob-Meyer decomposition and inverse flow technique, the existence and uniqueness of the solution for the BSREJ is established. The difficulties addressed to this issue not only are brought from the high nonlinearity of the generator of the BSREJ like the case driven only by Brownian motion, but also from that i) the inverse flow of the controlled linear stochastic differential equation driven by Poisson jumps may not exist without additional technical condition, and ii) how to show the inverse matrix term involving jump process in the generator is well-defined. Utilizing the structure of the optimal problem, we overcome these difficulties and establish the existence of the solution. In additional, a verification theorem for BSREJ is given which implies the uniqueness of the solution.

Full work available at URL: https://arxiv.org/abs/1808.08336

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zbMATH Keywords

dynamic programmingPoisson processoptimal feedback controlbackward stochastic Riccati differential equation with jumpsDoob-Meyer decompostionstochastic linear quadratic optimal control problem with jumps

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

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Cited In (18)

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• Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
• Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems
• A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information
• Linear-quadratic optimal control for backward stochastic differential equations with random coefficients
• Stochastic linear-quadratic control problems with affine constraints
• One kind of linear-quadratic zero-sum stochastic differential game with jumps
• A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach
• Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
• Linear-quadratic optimal control problems for mean-field backward stochastic differential equations with jumps
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
• Stochastic linear-quadratic control with a jump and regime switching on a random horizon
• General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
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