One Kind of Fully Coupled Linear Quadratic Stochastic Control Problem with Random Jumps

有随机的一个种有点线性的二次的随机的控制问题跳被学习。最佳的控制的明确的形式被获得。最佳的控制能被证明唯一。一个种概括 Riccati 方程系统被介绍，它的解决之可能性被讨论。为有随机的最佳的控制问题的线性反馈管理者跳被概括 Riccati 方程系统的解决方案给。

One kind of fully coupled linear quadratic stochastic control problem with random jumps is studied. The explicit form of the optimal control is obtained. The optimal control can be proved to be unique. One kind of generalized Riccati equation system is introduced and its solvability is discussed. The linear feedback regulator for the optimal control problem with random jumps is given by the solution of the generalized Riccati equation system.