Uncertain Stochastic Optimal Control with Jump and Its Application in a Portfolio Game
Sign Up to like & getrecommendations! Published in 2022 at "Symmetry"
DOI: 10.3390/sym14091885
Abstract: This article describes a class of jump-uncertain stochastic control systems, and derives an Itô–Liu formula with jump. We characterize an optimal control law, that satisfies the Hamilton–Jacobi–Bellman equation with jump. Then, this paper deduces the… read more here.
Keywords: optimal control; portfolio game; uncertain stochastic; jump ... See more keywords