General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients

DOI10.1080/07362994.2013.845106zbMath1292.93154arXiv1102.3295OpenAlexW2963565702MaRDI QIDQ5416838

Qingxin Meng

Publication date: 15 May 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.3295

zbMATH Keywords

dynamic programmingItō-Ventzell formulabackward stochastic Riccati equationstochastic Hamilton systemlinear quadratic optimal stochastic controlPoisson random martingale measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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