Optimal control for stochastic differential delay equations with Poisson jumps and applications

被引：7
|
作者：
Shi, Jingtao [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
来源：
RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2015年 / 23卷 / 01期
关键词：
Stochastic optimal control; stochastic differential delay equation; anticipated backward stochastic differential equation; Poisson jumps; maximum principle;
D O I：
10.1515/rose-2014-0028
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper is concerned with the optimal control problem for stochastic diff erential delay equations with Poisson jumps, in which both state and control delays are involved. We obtain the necessary and sufficient maximum principles for the optimal control by virtue of the duality method and the anticipated backward stochastic differential equations with Poisson jumps. An optimal consumption rate problem is discussed to illustrate the applications of our results.
引用
收藏
页码：39 / 52
页数：14
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