Optimistic value model of uncertain optimal control with jump and application in finance
نویسنده
چکیده
In recent decades there has been an increasing attention in research of optimal control theory with uncertainties. An important issue to deal with the optimal control problem with uncertainties is how to determine some optimization criterion to optimize objective function. Actually, there are many criteria to do so but there is no any criteria to be best because different criteria satisfy various requirements in different problems. Based on uncertainty theory, an expected value model of uncertain optimal control problem with jump was studied by Deng and Zhu. This paper applied the optimistic value criterion to further discuss uncertain optimal control problem with jump. The principle of optimality for proposed model is first given, and then the equation of optimality for proposed model is obtained under optimistic value criterion. At last, an optimal control problem of pension fund is solved by this equation of optimality.
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