Optimal regulator for a class of nonlinear stochastic systems with random coefficients

Algoulity, Mashael and Gashi, Bujar (2023) Optimal regulator for a class of nonlinear stochastic systems with random coefficients. European Journal of Control, 74. p. 100844.

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Official URL: http://dx.doi.org/10.1016/j.ejcon.2023.100844

Abstract

We consider an optimal regulator problem for a class of nonlinear stochastic systems with a square-root nonlinearity and random coefficients, and using the quadratic-linear criterion. This represents a certain nonlinear generalisation of the stochastic linear-quadratic control problem with random coefficients. The solution if found in an explicit closed-form as an affine state-feedback control in terms of a Riccati and linear backward stochastic differential equations. As an application, we give the solution to an optimal investment problem in a market with random coefficients.

Item Type:	Article
Divisions:	Faculty of Science and Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	20 Jun 2023 07:41
Last Modified:	13 Nov 2023 03:05
DOI:	10.1016/j.ejcon.2023.100844
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3171090