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6

TAC
2016

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Optimal Control With Noisy Time

8 years 17 days ago

Optimal Control With Noisy Time

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—This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller’s measure of time is a stochastic process derived from a strictly increasing L´evy process. We provide dynamic programming results for continuous-time ﬁnitehorizon control and specialize these results to solve a noisy-time variant of the linear quadratic regulator problem and a portfolio optimization problem with random trade activity rates. For the linear quadratic case, the optimal controller is linear and can be computed from a generalization of the classical Riccati differential equation.

Andrew G. Lamperski, Noah J. Cowan

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Added	10 Apr 2016
Updated	10 Apr 2016
Type	Journal
Year	2016
Where	TAC
Authors	Andrew G. Lamperski, Noah J. Cowan

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