Optimal control for uncertain stochastic dynamic systems with jump and application to an advertising model
Xin Chen, Yuanguo Zhu, Linxue Sheng
Topics & Concepts
RandomnessIndeterminacy (philosophy)Stochastic differential equationOptimal controlDynamic programmingMathematicsMathematical optimizationJump processJumpStochastic controlMaximum principleProcess (computing)Differential (mechanical device)Differential equationQuadratic equationStochastic processHamilton–Jacobi–Bellman equationComputer scienceApplied mathematicsMathematical analysisOperating systemGeometryPhysicsStatisticsEngineeringAerospace engineeringQuantum mechanicsFuzzy Systems and OptimizationMulti-Criteria Decision MakingProbabilistic and Robust Engineering Design