论文标题
随机线性季度最佳控制问题泊松跳跃的闭环可溶性
Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps
论文作者
论文摘要
本文涉及泊松跳跃的随机线性最佳控制问题。状态方程中的系数和成本功能中的加权矩阵都是确定性的，但允许不确定。引入了闭环策略的概念，最佳的闭环策略的特征在于riccati积分分化方程和带有泊松跳跃的后退随机微分方程。
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the cost functional are all deterministic but are allowed indefinite. The notion of closed-loop strategies is introduced, and the optimal closed-loop strategy is characterized by a Riccati integral-differential equation and a backward stochastic differential equation with Poisson jumps.
