an:06832155
Zbl 1380.93286
Deng, Liubao; You, Zhiqiang; Chen, Yuefen
Optimistic value model of multidimensional uncertain optimal control with jump
EN
Eur. J. Control 39, 1-7 (2018).
0947-3580 1435-5671
2018
j
93E20 93C41 91G10 49K45
stochastic optimal control; optimistic value; uncertainty; jump; multidimensional problem
Summary: Based on the optimistic value model of uncertain optimal control with jump in one-dimensional case, this paper investigates the optimistic value model of multidimensional uncertain optimal control with jump, which are based on a new uncertainty theory and differs from the stochastic optimal control based on probability theory. The principle of optimality is given and the equation of optimality is obtained. In the end, an example of a portfolio selection is presented to illustrate the effectiveness of the new results.