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.
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页码：1 / 7
页数：7
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