标题:Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations
作者:Na Li;Zhen Wu;Zhiyong Yu;
作者机构:[Na Li;Zhen Wu;Zhiyong Yu]School of Statistics, Shandong University of Finance and Economics;[Na Li;Zhen Wu;Zhiyong Yu]School of Mathematics, Shandong 更多
来源:Science China(Mathematics)
出版年:2018
期:03
页码:563-576
关键词:stochastic linear-quadratic problem;Hamiltonian system;Riccati equation;Poisson process;indefinite case
摘要:We discuss the stochastic linear-quadratic(LQ) optimal control problem with Poisson processes under the indefinite case. Based on the wellposedness of the LQ problem, the main idea is expressed by the definition of relax compensator that extends the stochastic Hamiltonian system and stochastic Ricca...
资源类型:期刊论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=JAXG201803010&DbName=CJFQTEMP
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