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math.OC2020
Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems
Jun Moon
This paper considers linear-quadratic (LQ) stochastic leader-follower Stackelberg differential games for jump-diffusion systems with random coefficients. We first solve the LQ prob…
math.OC2020★ 5 cited
Backward Reachability Approach to State-Constrained Stochastic Optimal Control Problems for Jump Diffusion Systems
Jun Moon
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinu…