We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an underlying independent marked point process, so that our model is general enough to include controlled switching systems where the switching mechanism is not required to be Markovian. The problem is solved by means of a Riccati equation, which a backward stochastic differential equation driven by the Brownian motion and by the random measure associated to the marked point process.
Linear-quadratic optimal control under non-Markovian switching / F. Confortola, M. Fuhrman, G. Guatteri, G. Tessitore. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - 36:1(2018 Jan), pp. 166-180.
|Titolo:||Linear-quadratic optimal control under non-Markovian switching|
|Parole Chiave:||linear-quadratic optimal control; optimal control with stochastic coeffcients; Riccati backward stochastic differential equations (Riccati BSDE)|
|Settore Scientifico Disciplinare:||Settore MAT/06 - Probabilita' e Statistica Matematica|
|Data di pubblicazione:||gen-2018|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1080/07362994.2017.1381624|
|Appare nelle tipologie:||01 - Articolo su periodico|