General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients
Qingxin MengPublished in: CoRR (2011)
Keyphrases
- brownian motion
- stochastic control
- optimal control
- vector valued
- poisson process
- heavy tailed
- closed form solutions
- differential equations
- closed form
- special case
- stochastic process
- dynamic programming
- generalized gaussian
- control strategy
- image processing
- point correspondences
- distance measure
- probabilistic model
- multiresolution