Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach

被引：23
|
作者：
Pamen, Olivier Menoukeu [1 ]
机构：
[1] Univ Liverpool, Dept Math, Inst Financial & Actuarial Math, Liverpool L69 7ZL, Merseyside, England
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2015年 / 167卷 / 03期
基金：
欧洲研究理事会;
关键词：
Model uncertainty; Optimal control; Stochastic differential utility; Stochastic delay equations; Time advanced BSDEs; Levy processes; MAXIMUM PRINCIPLE; TIME; UTILITY; OPTIMIZATION; MAXIMIZATION;
D O I：
10.1007/s10957-013-0484-4
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic differential equation with jumps. This problem can be written as a stochastic delayed differential game. We suggest a maximum principle of this problem and obtain necessary and sufficient condition of optimality. We apply the result to study a problem of consumption choice optimization under model uncertainty.
引用
收藏
页码：998 / 1031
页数：34
相关论文
共 50 条
  • [1] Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach
    Olivier Menoukeu Pamen
    Journal of Optimization Theory and Applications, 2015, 167 : 998 - 1031
  • [2] Competitive Advertising Under Uncertainty: A Stochastic Differential Game Approach
    A. Prasad
    S. P. Sethi
    Journal of Optimization Theory and Applications, 2004, 123 : 163 - 185
  • [3] Competitive advertising under uncertainty: A stochastic differential game approach
    Prasad, A
    Sethi, SP
    JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2004, 123 (01) : 163 - 185
  • [4] Optimal control of dynamical systems and structures under stochastic uncertainty Stochastic optimal feedback control
    Marti, K.
    ADVANCES IN ENGINEERING SOFTWARE, 2012, 46 (01) : 43 - 62
  • [5] Optimal control and zero-sum differential game for stochastic uncertain systems with randomness and uncertainty
    Chen, Xin
    Lu, Ziqiang
    Shao, Yu
    Yuan, Dongmei
    TRANSACTIONS OF THE INSTITUTE OF MEASUREMENT AND CONTROL, 2024,
  • [6] Optimal control for transboundary pollution under ecological compensation: A stochastic differential game approach
    Jiang, Ke
    Merrill, Ryan
    You, Daming
    Pan, Pan
    Li, Zhendong
    JOURNAL OF CLEANER PRODUCTION, 2019, 241
  • [7] Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty
    Bernt Øksendal
    Agnès Sulem
    Journal of Optimization Theory and Applications, 2014, 161 : 22 - 55
  • [8] Stochastic optimal control to a nonlinear differential game
    Basimanebotlhe, Othusitse
    Xue, Xiaoping
    ADVANCES IN DIFFERENCE EQUATIONS, 2014,
  • [9] Stochastic optimal control to a nonlinear differential game
    Othusitse Basimanebotlhe
    Xiaoping Xue
    Advances in Difference Equations, 2014
  • [10] Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty
    Oksendal, Bernt
    Sulem, Agnes
    JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2014, 161 (01) : 22 - 55
12345