Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps
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Publication:6409095
arXiv2208.13401MaRDI QIDQ6409095FDOQ6409095
Authors: Zixuan Li, Jingtao Shi 
Publication date: 29 August 2022
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.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
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