Uncertain Stochastic Optimal Control with Jump and Its Application in a Portfolio Game
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 optimal portfolio game under uncertain stochastic...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-09-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/14/9/1885 |