Optimistic value model of multidimensional uncertain optimal control with jump

被引：19
|
作者：
Deng, Liubao [1 ]
You, Zhiqiang [1 ]
Chen, Yuefen [2 ]
机构：
[1] Anhui Univ Finance & Econ, Sch Finance, 962 Caoshan Rd, Bengbu 233030, Anhui, Peoples R China
[2] Xinyang Normal Univ, Coll Math & Informat Sci, 237 Nanhu Rd, Xinyang 464000, Henan, Peoples R China
来源：
EUROPEAN JOURNAL OF CONTROL | 2018年 / 39卷
基金：
中国国家自然科学基金;
关键词：
Optimal control; Optimistic value; Uncertainty; Jump; Multidimensional; PORTFOLIO SELECTION;
D O I：
10.1016/j.ejcon.2017.09.002
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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. (C) 2017 European Control Association. Published by Elsevier Ltd. All rights reserved.
引用
收藏
页码：1 / 7
页数：7
相关论文
共 50 条
  • [31] An Uncertain Optimal Control Model with n Jumps and Application
    Deng, Liubao
    Zhu, Yuanguo
    COMPUTER SCIENCE AND INFORMATION SYSTEMS, 2012, 9 (04) : 1453 - 1468
  • [32] UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
    Zhu, Yuanguo
    CYBERNETICS AND SYSTEMS, 2010, 41 (07) : 535 - 547
  • [33] An optimistic value–variance–entropy model of uncertain portfolio optimization problem under different risk preferences
    Bo Li
    Yadong Shu
    Yufei Sun
    Kok Lay Teo
    Soft Computing, 2021, 25 : 3993 - 4001
  • [34] Optimal control and zero-sum game subject to multifactor uncertain random systems with jump
    Chen, Xin
    Tian, Chenlei
    Jin, Ting
    OPTIMIZATION, 2025, 74 (04) : 981 - 1022
  • [35] Model reduction of multidimensional and uncertain systems
    Beck, CL
    Doyle, J
    Glover, K
    IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1996, 41 (10) : 1466 - 1477
  • [36] Feedback predictive control for uncertain jump systems
    Wen, Ji-Wei
    Liu, Fei
    Kongzhi yu Juece/Control and Decision, 2010, 25 (06): : 916 - 920
  • [37] An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
    Li, Bo
    Shu, Yadong
    Sun, Yufei
    Teo, Kok Lay
    SOFT COMPUTING, 2021, 25 (05) : 3993 - 4001
  • [38] Optimal execution under jump models for uncertain price impact
    Moazeni, Somayeh
    Coleman, Thomas F.
    Li, Yuying
    JOURNAL OF COMPUTATIONAL FINANCE, 2013, 16 (04) : 35 - 78
  • [39] STABILITY AND ATTRACTIVITY ANALYSIS OF UNCERTAIN SWITCHED SYSTEMS UNDER OPTIMISTIC VALUE CRITERION
    Shu, Y. A. D. O. N. G.
    LI, B. O.
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2022, 60 (04) : 2420 - 2439
  • [40] Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
    Bandini, Elena
    Fuhrman, Marco
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2017, 127 (05) : 1441 - 1474
12345