Optimistic Value Model of Uncertain Linear Quadratic Optimal Control with Jump
Liubao Deng* and Yuefen Chen**
*School of Finance, Anhui University of Finance and Economics
962 Caoshan Road, Bengbu 233030, China
* College of Mathematics and Information Science, Xinyang Normal University
237 Nanhu Road, Xinyang 464000, China
Based on the optimistic value model of uncertain optimal control model with jump, in this paper, an optimistic value model of uncertain linear quadratic (LQ) optimal control with jump is proposed. Then, the necessary and sufficient condition for the existence of optimal control is obtained. Finally, an enterprize’s inventory problem is given to illustrate usefulness of the proposed model.
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