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Optimal control of uncertain systems with jump under optimistic value criterion. (English) Zbl 1380.49030
Summary: Based on uncertainty theory, a new optimistic value model of uncertain optimal control for uncertain dynamic systems with jump is established. The principle of optimality is proposed and the equation of optimality is obtained for presented model by employing the dynamic programming method. As an application, an optimal control problem of pension fund is discussed to verify the validity of the proposed method.

MSC:
49L20 Dynamic programming in optimal control and differential games
93C41 Control/observation systems with incomplete information
49K99 Optimality conditions
90C39 Dynamic programming
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