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The Control for Bilinear Systems with Poisson Jumps

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  • Rui Zhang
  • Weihai Zhang
  • Xiangyun Lin

Abstract

This paper discusses the state feedback control problem for a class of bilinear stochastic systems driven by both Brownian motion and Poisson jumps. By completing square method, we obtain the control by solutions of the corresponding Hamilton-Jacobi equations (HJE). By the tensor power series method, we also shift such HJEs into a kind of Riccati equations, and the control is represented with the form of tensor power series.

Suggested Citation

  • Rui Zhang & Weihai Zhang & Xiangyun Lin, 2014. "The Control for Bilinear Systems with Poisson Jumps," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, May.
    • Handle: RePEc:hin:jnlmpe:635758
    DOI: 10.1155/2014/635758
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