A Jump Ornstein-Uhlenbeck Bridge Based on Energy-optimal Control and Its Self-exciting Extension
arXiv:2302.10345 · doi:10.1109/LCSYS.2023.3271422
Abstract
We study a version of the Ornstein-Uhlenbeck bridge driven by a spectrally-positive subordinator. Our formulation is based on a Linear-Quadratic control subject to a singular terminal condition. The Ornstein-Uhlenbeck bridge, we develop, is written as a limit of the obtained optimally controlled processes, and is shown to admit an explicit expression. Its extension with self-excitement is also considered. The terminal condition is confirmed to be satisfied by the obtained process both analytically and numerically. The methods are also applied to a streamflow regulation problem using a real-life dataset.
This is a preprint version of the article with the same title to be published in "IEEE Control Systems Letters" (L-CSS)