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JACIII Vol.20 No.2 pp. 189-196
doi: 10.20965/jaciii.2016.p0189
(2016)

Paper:

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

Received:
July 22, 2015
Accepted:
November 26, 2015
Online released:
March 18, 2016
Published:
March 20, 2016
Keywords:
optimistic value, optimal control, uncertainty, jump, linear quadratic model
Abstract

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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Last updated on May. 22, 2017