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2016

Optimal Control With Noisy Time

4 years 6 months ago
Optimal Control With Noisy Time
—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
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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