Indefinite Linear-Quadratic Stochastic Control Problem for Jump-Diffusion Models with Random Coefficients: A Completion of Squares Approach
In this paper, we study the indefinite linear-quadratic (LQ) stochastic optimal control problem for stochastic differential equations (SDEs) with jump diffusions and random coefficients driven by both the Brownian motion and the (compensated) Poisson process. In our problem setup, the coefficients i...
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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
MDPI AG
2021
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/6c80e97f68b94e3b936ccc2741ba7d87 |
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