Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients

DOI10.1137/18M1209684zbMath1435.93181arXiv1808.08336OpenAlexW3004194202MaRDI QIDQ5212950

Fu Zhang, Qingxin Meng, Yuchao Dong

Publication date: 31 January 2020

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

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

zbMATH Keywords

optimal feedback controldynamic programmingPoisson processbackward stochastic Riccati differential equation with jumpsDoob-Meyer decompostionstochastic linear quadratic optimal control problem with jumps

Mathematics Subject Classification ID

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

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