A stochastic optimal feedback control problem with random-sized jumps |
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| Authors: | Timothy C. Brown Diana L. Pallant |
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| Affiliation: | (1) Department of Mathematics, University of Western Australia, 6009 Nedlands, W.A., Australia;(2) Teletraffic Research Centre, University of Adelaide, G.P.O. Box 498, 5001 Adelaide S.A. |
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| Abstract: | An optimal feedback control problem for a partially observed linear system with noise of fixed-sized jumps occurring at random times driven by a Poisson process is extended to include noise with random-sized jumps. The control structure is appropriately modified to compensate for the mean behavior of the system jumps via an additional deterministic term.Editor: N.U. Ahmed |
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