Partial Information Linear Quadratic Control for Jump Diffusions

DOI10.1137/060667566zbMath1165.93037OpenAlexW2050099630MaRDI QIDQ5320738

Bernt Øksendal, Yaozhong Hu

Publication date: 22 July 2009

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

Full work available at URL: https://semanticscholar.org/paper/7432cf46cc985ba9051ab9f3e5d7155b7b81f366

zbMATH Keywords

partial informationjump diffusionslinear quadratic controlbackward stochastic Riccati equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Stochastic integrals (60H05)

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