State and Control Path-Dependent Stochastic Optimal Control With Jumps

DOI10.1109/TAC.2022.3161381MaRDI QIDQ6075998zbMATH OpenOpenAlexFDO

Authors Jun-Hee Moon

Publication date 21 September 2023

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

Full work available at URL https://doi.org/10.1109/tac.2022.3161381

zbMATH Keywords

functional Itô formula for jump diffusionsintegro-type path-dependent Hamilton-Jacobi-Bellman (PHJB) equationstochastic control for jump diffusionsstochastic control with delayverification theorem

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cited in

(1)

• Optimal control problems with state specific jumps in the state equation

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