| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7113699 | European Journal of Control | 2018 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Liubao Deng, Zhiqiang You, Yuefen Chen,