The norm optimal control of stochastic linear control systems with jumps

  • Yanqing Wang
  • Published 2013 in
    Proceedings of the 32nd Chinese Control…

Abstract

In this paper, we study the norm optimal control problem for the stochastic linear control systems with random jumps. By means of a quadratic functional, and a variational characterization of the minimizer of this functional, we obtain the existence and uniqueness of the norm optimal control. Also, we construct the optimal control by virtue of a backward… (More)

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