Partial Information Linear Quadratic Control for Jump Diffusions

13 years 4 months ago

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We study a stochastic control problem where the state process is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, being affine in both the state and the control. The performance functional is quadratic in the state and the control. All the coefficients are allowed to be random and non-Markovian. Moreover, we may allow the control to be predictable to a given subfiltration of the filtration of the Brownian motion and the random measure (partial information control).

Yaozhong Hu, Bernt Oksendal

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