Name
Abstract | ||
|---|---|---|
We study a stochastic control problem in which the state process is described by a stochastic differential equation (SDE) that is driven by a Brownian motion and a Poisson random measure, and is affine in both the state and the control. The performance functional is quadratic in the state and the control. All the coefficients are allowed to be random and non-Markovian. Moreover, we may allow the control to be predictable to a given subfiltration of the filtration of the Brownian motion and the random measure (partial information control). |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1137/060667566 | SIAM J. Control and Optimization |
Keywords | Field | DocType |
random measure,partial information linear quadratic,jump diffusions,linear quadratic control,measure,poisson random measure,jump diusions,partial information control,stochastic control problem,stochastic differential equation,state process,being ane key words and phrases: partial information,brownian motion,stochastic control | Diffusion process,Mathematical optimization,Mathematical analysis,Poisson random measure,Stochastic process,Stochastic differential equation,Brownian motion,Mathematics,Jump process,Geometric Brownian motion,Stochastic control | Journal |
Volume | Issue | ISSN |
47 | 4 | 0363-0129 |
Citations | PageRank | References |
5 | 0.99 | 4 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yaozhong Hu | 1 | 27 | 8.83 |
| Bernt Oksendal | 2 | 89 | 15.84 |