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| 引用本文： | ??????,?????.???????????????????????????????????????????????????????????[J].应用概率统计,2006,35(3):275-291. |
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| 作者姓名： | ?????? ????? |
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| 作者单位： | ?????????????, ????, 3118 |
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| 摘 要： |
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| 关 键 词： | ?????????????????????? ?????迨???????? ??????? ???淽?? ????????????? |
A Finite Horizon Linear Quadratic Optimal Stochastic Control Problem Driven by Both Brownian Motion and L\'{e}vy Processes |
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| HU Shipei,HE Zhimin.A Finite Horizon Linear Quadratic Optimal Stochastic Control Problem Driven by Both Brownian Motion and L\'{e}vy Processes[J].Chinese Journal of Applied Probability and Statisties,2006,35(3):275-291. |
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| Authors: | HU Shipei HE Zhimin |
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| Institution: | Jiyang College, Zhejiang A$\&$F University, Zhuji, 311800, China |
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| Abstract: | ??We study the linear quadratic optimal stochastic control problem which is jointly driven by Brownian motion and L\'{e}vy processes. We prove that the new affine stochastic differential adjoint equation exists an inverse process by applying the profound section theorem. Applying for the Bellman's principle of quasilinearization and a monotone iterative convergence method, we prove the existence and uniqueness of the solution of the backward Riccati differential equation. Finally, we prove that the optimal feedback control exists, and the value function is composed of the initial value of the solution of the related backward Riccati differential equation and the related adjoint equation. |
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| Keywords: | linear quadratic optimal stochastic control problem backward Riccati differential equation L\'{e}vy processes adjoint equation quasilinearization iterative method |
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