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

页码：39 / 52

页数：14

共 50 条

[41] Approximate Controllability of Second-Order Neutral Stochastic Differential Equations with Infinite Delay and Poisson Jumps
PALANISAMY Muthukumar
CHINNATHAMBI Rajivganthi
JournalofSystemsScience&Complexity, 2015, 28 (05) : 1033 - 1048
[42] Convergence of numerical solutions to stochastic delay differential equations with jumps
Li, RH
Meng, HB
Dai, YH
APPLIED MATHEMATICS AND COMPUTATION, 2006, 172 (01) : 584 - 602
[43] Numerical methods for nonlinear stochastic delay differential equations with jumps
Zhao, Guihua
Liu, Mingzhu
APPLIED MATHEMATICS AND COMPUTATION, 2014, 233 : 222 - 231
[44] The Solvability and Optimal Controls for Fractional Stochastic Differential Equations Driven by Poisson Jumps Via Resolvent Operators
P. Tamilalagan
P. Balasubramaniam
Applied Mathematics & Optimization, 2018, 77 : 443 - 462
[45] Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps
Li, Yan
Hu, Junhao
ABSTRACT AND APPLIED ANALYSIS, 2013,
[46] OPTIMAL CONTROL OF STOCHASTIC DELAY EQUATIONS AND TIME-ADVANCED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Oksendal, Bernt
Sulem, Agnes
Zhang, Tusheng
ADVANCES IN APPLIED PROBABILITY, 2011, 43 (02) : 572 - 596
[47] On solutions of backward stochastic differential equations with jumps and applications
Rong, ST
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1997, 66 (02) : 209 - 236
[48] Moderate deviations for neutral stochastic differential delay equations with jumps
Ma, Xiaocui
Xi, Fubao
STATISTICS & PROBABILITY LETTERS, 2017, 126 : 97 - 107
[49] Supports for degenerate stochastic differential equations with jumps and applications
Qiao, Huijie
Wu, Jiang-Lun
STATISTICS & PROBABILITY LETTERS, 2021, 177
[50] The Solvability and Optimal Controls for Fractional Stochastic Differential Equations Driven by Poisson Jumps Via Resolvent Operators
Tamilalagan, P.
Balasubramaniam, P.
APPLIED MATHEMATICS AND OPTIMIZATION, 2018, 77 (03): : 443 - 462

← 1 2 3 4 5 →