Optimal control of multifactor uncertain system with jumps

Abstract

The optimal control problem is an important research topic which aims at finding the optimal strategy in a dynamical system. Based on the expected value and optimistic value model of uncertain optimal control, this paper investigates the multifactor uncertain optimal control system with jumps to describe a dynamical system with uncertain noises, which can deal with these data including many indeterminant factors. First of all, we consider the optimal control problem for the multifactor uncertain system with jumps with two evaluation criterions. Next, we propose a saddle point game model for the multifactor uncertain system with jumps. Eventually, we consider a dynamic portfolio game under two evaluation criterions through our results.

Keywords:

• Multifactor
• V-jumps
• optimal control
• saddle point equilibrium

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

The research was supported by Postgraduate Research & Practice Innovation Program of Jiangsu Province (KYCX20_0170) and the National Natural Science Foundation of China (61374183, 51535005).