A stochastic linear-quadratic optimal control problem with jumps in an infinite horizon

Abstract

In this paper, a stochastic linear-quadratic (LQ, for short) optimal control problem with jumps in an infinite horizon is studied, where the state system is a controlled linear stochastic differential equation containing affine term driven by a one-dimensional Brownian motion and a Poisson stochastic martingale measure, and the cost functional with respect to the state process and control process is quadratic and contains cross terms. Firstly, in order to ensure the well-posedness of our stochastic optimal control of infinite horizon with jumps, the $L^2$-stabilizability of our control system with jump is introduced. Secondly, it is proved that the $L^2$-stabilizability of our control system with jump is equivalent to the non-emptiness of the admissible control set for all initial state and is also equivalent to the existence of a positive solution to some integral algebraic Riccati equation (ARE, for short). Thirdly, the equivalence of the open-loop and closed-loop solvability of our infinite horizon optimal control problem with jumps is systematically studied. The corresponding equivalence is established by the existence of a $stabilizing\ solution$ of the associated generalized algebraic Riccati equation, which is different from the finite horizon case. Moreover, any open-loop optimal control for the initial state $x$ admiting a closed-loop representation is obatined