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20202023
most citedLinear Quadratic Stackelberg Stochastic Differential Games: Closed-Loop Solvability

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math.OC2022

Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps

Zixuan Li, Jingtao Shi

This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the co…