自动化学报2003，Vol.29Issue(6)：821-826,6.
带有随机跳跃干扰的线性二次随机最优控制问题
FBSDE with Poisson Process and Its Application to Linear Quadratic Stochastic Optimal Control Problem with Random Jumps
摘要
Abstract
One kind of existence and uniqueness result of forward-backward stochastic differential equations with Brownian motion and Poisson process is given. The result is applied to get the explicit form of the optimal control for linear quadratic stochastic optimal control problem with random jumps. The optimal control can be proved to be unique. One kind of generalized Riccati equation system is introduced and its solvability is discussed. The linear feedback regulator for the optimal control problem with random jump is given by the solution of the generalized Riccati equation system关键词
随机微分方程/泊松过程/随机最优控制/黎卡提方程Key words
Stochastic differential equations/poisson process/stochastic optimal control/Riccati equation分类
数理科学引用本文复制引用
吴臻,王向荣..带有随机跳跃干扰的线性二次随机最优控制问题[J].自动化学报,2003,29(6):821-826,6.基金项目
Supported by National Natural Science Foundation of P. R. China (10001022 and 10226011), the Excellent Young Teachers Program and the Doctoral program Foundation of Ministry of Education, P. R. China （10001022 and 10226011）
