A linear quadratic tracking problem for stochastic systems controlled by impulses. The finite horizon time case.

We investigate a problem to solve the linear quadratic tracking problem for stochastic systems controlled by impulses. Two optimal control problems are investigated where the different objective functions are minimized. Explicit formulae for optimal controls are developed. The optimal controllers are computed based on the solution of the backward jump matrix Lyapunov type linear differential equations. [ABSTRACT FROM AUTHOR]