Optimistic value model of multidimensional uncertain optimal control with jump

DOI10.1016/J.EJCON.2017.09.002MaRDI QIDQ681138zbMATH OpenOpenAlexFDO

Authors Liubao Deng, Zhiqiang You, Yue-fen Chen

Publication date 30 January 2018

Published in European Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejcon.2017.09.002

zbMATH Keywords

uncertaintystochastic optimal controloptimistic valuejumpmultidimensional problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimality conditions for problems involving randomness (49K45) Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20)

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Cites work

• American option pricing formula for uncertain financial market
• An optimal control model for uncertain systems with time-delay
• Bang-bang control model for uncertain switched systems
• Bang-bang optimal control for multi-stage uncertain systems
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal control of uncertain systems with jump under optimistic value criterion
• Optimistic value model of uncertain optimal control
• Optimum consumption and portfolio rules in a continuous-time model
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Theory and practice of uncertain programming.
• Uncertain bang-bang control for continuous time model
• Uncertain hypothesis testing for two experts' empirical data
• Uncertain optimal control of linear quadratic models with jump
• Uncertain optimal control with application to a portfolio selection model
• Uncertainty theory

Cited in

(12)

• A linear quadratic model based on multistage uncertain random systems
• Uncertain optimal control of linear quadratic models with jump
• Existence, uniqueness, and stability of uncertain delay differential equations with \(V\)-jump
• Optimal control of multifactor uncertain system with jumps
• Hurwicz model of uncertain linear quadratic optimal control with jump
• Multistage uncertain random linear quadratic optimal control
• Hurwicz model of uncertain optimal control with jump
• An uncertain sustainable supply chain network
• Optimistic value model of uncertain optimal control
• Optimal control of uncertain systems with jump under optimistic value criterion
• Indefinite linear quadratic optimal control problem for uncertain random discrete-time systems
• Saddle-point solution to zero-sumgame for uncertain noncausal systems based on optimistic value

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