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.
Deng, L., & Zhu, Y. (2013). Uncertain optimal control of linear quadratic models with jump. Mathematical and Computer Modelling, 57(9–10), 2432–2441. https://doi.org/10.1016/j.mcm.2012.07.003