Probability & Statistics Seminar

This work studied a stochastic linear-quadratic (LQ) optimal control problem with Poisson processes under the indefinite case. Based on the well-posedness of LQ problem, the main idea is expressed by the definition of relax compensator that extends the stochastic Hamiltonian system and stochastic Riccati equation with Poisson processes (SREP) from positive definite case to the indefinite case. We mainly study the existence and uniqueness of the solution for the stochastic Hamiltonian system and obtain the optimal control with open- loop form. Then, we further investigate the existence and uniqueness of the solution for SREP in some special case and obtain the optimal control in close-loop form.