2011/02/16 by Qingxin, Meng · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Electrical engineering #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Risk and Portfolio Optimization #Stochastic processes and financial applications #Systems and Control (eess.SY) #electronic engineering #information engineering
paper · pdf · doi:10.48550/arxiv.1102.3295
openalex publication_date 2011/02/16 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/31
The main purpose of this paper is to discuss detailed the stochastic LQ control problem with random coefficients where the linear system is a multidimensional stochastic differential equation driven by a multidimensional Brownian motion and a Poisson random martingale measure. In the paper, we will establish the connections of the multidimensional Backward stochastic Riccati equation with jumps (BSRDEJ in short form) to the stochastic LQ problem and to the associated Hamilton systems. By the connections, we show the optimal control have the state feedback representation. Moreover, we will show the existence and uniqueness result of the multidimensional BSRDEJ for the case where the generator is bounded linear dependence with respect to the unknowns martingale term.