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: Jun Moon, Jin-Ho Chung
Formato: article
Lenguaje:EN
Publicado: MDPI AG 2021
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Acceso en línea:https://doaj.org/article/6c80e97f68b94e3b936ccc2741ba7d87
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