an:06295346
Zbl 1286.93202
Deng, Liubao; Zhu, Yuanguo
Uncertain optimal control of linear quadratic models with jump
EN
Math. Comput. Modelling 57, No. 9-10, 2432-2441 (2013).
0895-7177
2013
j
93E20 49N10
uncertain LQ optimal control with jump; principal of optimality; equation of optimality; necessary and sufficient conditions; enterprize's investment decisions
Summary: Based on the uncertain optimal control with jump, in this paper, we study a kind of special uncertain optimal control problem: \textit{linear-quadratic} \((LQ)\) \textit{uncertain optimal control problem with jump} which has a quadratic objective function for a linear uncertain control system with jump. We obtain a necessary and sufficient condition for the existence of optimal control. As an application, we discuss an uncertain \(LQ\) optimal control problem for the enterprize's investment decisions.