A stochastic linear-quadratic optimal control problem with jumps in an infinite horizon
In this paper, a stochastic linear-quadratic (LQ, for short) optimal control problem with jumps in an infinite horizon is studied, where the state system is a controlled linear stochastic differential equation containing affine term driven by a one-dimensional Brownian motion and a Poisson stochasti...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-01-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2023202?viewType=HTML |