UNCERTAIN OPTIMAL CONTROL WITH JUMP

@inproceedings{Deng2012UNCERTAINOC,
  title={UNCERTAIN OPTIMAL CONTROL WITH JUMP},
  author={Liubao Deng and Yuanguo Zhu},
  year={2012}
}
Based on the uncertainty theory, an uncertain optimal control problem with jump is considered for uncertain dynamical systems driven by both an uncertain V jump process and an uncertain canonical process. The principle of optimality and the equation of optimality are obtained by applying the dynamic programming principle of the optimal control. As its applications, a pension funds control problem is discussed and the optimal strategies are presented. 

Figures and Topics from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 11 CITATIONS

Multistage Uncertain Random Bang-Bang Optimal Control

  • 2018 37th Chinese Control Conference (CCC)
  • 2018
VIEW 6 EXCERPTS
CITES BACKGROUND
HIGHLY INFLUENCED

Optimistic value model of uncertain optimal control with jump and application in finance

VIEW 8 EXCERPTS
CITES BACKGROUND, RESULTS & METHODS
HIGHLY INFLUENCED

Uncertain optimal control of linear quadratic models with jump

  • Mathematical and Computer Modelling
  • 2013
VIEW 7 EXCERPTS
CITES METHODS & BACKGROUND
HIGHLY INFLUENCED

Multidimensional uncertain optimal control with jump

  • 2012 International Conference on Systems and Informatics (ICSAI2012)
  • 2012
VIEW 7 EXCERPTS
CITES BACKGROUND, METHODS & RESULTS
HIGHLY INFLUENCED

An uncertain optimal control model with n jumps and application

  • Comput. Sci. Inf. Syst.
  • 2012
VIEW 5 EXCERPTS
CITES RESULTS & BACKGROUND
HIGHLY INFLUENCED

References

Publications referenced by this paper.
SHOWING 1-10 OF 30 REFERENCES

Fuzzy optimal control of linear quadratic models

  • Computers & Mathematics with Applications
  • 2010
VIEW 8 EXCERPTS
HIGHLY INFLUENTIAL

A Fuzzy Optimal Control Model

VIEW 8 EXCERPTS
HIGHLY INFLUENTIAL

Multidimensional Fuzzy Optimal Control with Application to Optimal Stopping Time

B. Wang, Y. Zhu
  • Proceedings of the Eighth International Conference on Information and Management Sciences
  • 2009
VIEW 8 EXCERPTS
HIGHLY INFLUENTIAL

Some Research Problems in Uncertainty Theory

VIEW 9 EXCERPTS
HIGHLY INFLUENTIAL

Uncertainty Theory, 2nd ed

B. Liu
  • 2007
VIEW 8 EXCERPTS
HIGHLY INFLUENTIAL

Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time

A.J.G. Cairns
  • Astin Bulletin
  • 2000
VIEW 4 EXCERPTS
HIGHLY INFLUENTIAL

Uncertain Optimal Control with Application to a Portfolio Selection Model

  • Cybernetics and Systems
  • 2010
VIEW 5 EXCERPTS
HIGHLY INFLUENTIAL

Similar Papers

Loading similar papers…