Based on the uncertain optimal control with jump, in this paper, we study a kind of special uncertain optimal control problem: linear-quadratic (LQ) uncertain optimal control problem with jump which has a quadratic objective function for a linear uncertain control system with jump. We obtain a necessary and sufficient condition for the existence of optimal control. As an application, we discuss an uncertain LQ optimal control problem for the enterprize's investment decisions. © 2012 Elsevier Ltd.
Mendeley saves you time finding and organizing research
Choose a citation style from the tabs below