Partial Information Linear Quadratic Control for Jump Diffusions
نویسندگان
چکیده
منابع مشابه
Partial Information Linear Quadratic Control for Jump Diffusions
We study a stochastic control problem where the state process is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, being 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 pr...
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We study partial information, possibly non-Markovian, singular stochastic control of jump diffusions and obtain general maximum principles. The results are used to find connections between singular stochastic control, reflected BSDEs and optimal stopping in the partial information case. Mathematics Subject Classification 2010: 93E20, 60H07, 60H10, 60HXX, 60J75
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Abstract: The adaptive control problem for a jump linear system with quadratic cost functional on infinite time interval is solved in this paper. It is assumed that the coefficients of the state equation are unknown but a compact set that contains the parameters is known. A diminishing excitation accompanies the adaptive control signal to ensure the strong consistency of the weighted least squa...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2008
ISSN: 0363-0129,1095-7138
DOI: 10.1137/060667566