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 turned out to be a backward stochastic differential equation driven by the Brownian motion and by the random measure associated with the marked point process
Confortola, F., Fuhrman, M., Guatteri, G., & Tessitore, G. (2018). Linear-quadratic optimal control under non-Markovian switching. STOCHASTIC ANALYSIS AND APPLICATIONS, 36(1), 166-180 [10.1080/07362994.2017.1381624].
Citazione: | Confortola, F., Fuhrman, M., Guatteri, G., & Tessitore, G. (2018). Linear-quadratic optimal control under non-Markovian switching. STOCHASTIC ANALYSIS AND APPLICATIONS, 36(1), 166-180 [10.1080/07362994.2017.1381624]. | |
Tipo: | Articolo in rivista - Articolo scientifico | |
Carattere della pubblicazione: | Scientifica | |
Presenza di un coautore afferente ad Istituzioni straniere: | No | |
Titolo: | Linear-quadratic optimal control under non-Markovian switching | |
Autori: | Confortola, F; Fuhrman, M; Guatteri, G; Tessitore, G | |
Autori: | ||
Data di pubblicazione: | 2018 | |
Lingua: | English | |
Rivista: | STOCHASTIC ANALYSIS AND APPLICATIONS | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/07362994.2017.1381624 | |
Appare nelle tipologie: | 01 - Articolo su rivista |