The Control for Bilinear Systems with Poisson Jumps

Rui Zhang, Weihai Zhang and Xiangyun Lin

Mathematical Problems in Engineering, 2014, vol. 2014, 1-7

Abstract:

This paper discusses the state feedback control problem for a class of bilinear stochastic systems driven by both Brownian motion and Poisson jumps. By completing square method, we obtain the control by solutions of the corresponding Hamilton-Jacobi equations (HJE). By the tensor power series method, we also shift such HJEs into a kind of Riccati equations, and the control is represented with the form of tensor power series.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:635758

DOI: 10.1155/2014/635758

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