Optimal control for uncertain stochastic dynamic systems with jump and application to an advertising model

作者：

Highlights：

• Present an optimal control model with jump in uncertain random environments.

• Propose the principle of optimality and equation of optimality to solve the model.

• The optimal solutions of two kinds of optimal problems are obtained.

• The optimal pricing policies and advertising strategies of an advertising problem are provided.

摘要

•Present an optimal control model with jump in uncertain random environments.•Propose the principle of optimality and equation of optimality to solve the model.•The optimal solutions of two kinds of optimal problems are obtained.•The optimal pricing policies and advertising strategies of an advertising problem are provided.

论文关键词：Optimal control,Chance theory,Dynamic programming method,Advertising model

论文评审过程：Received 16 December 2020, Revised 9 March 2021, Accepted 22 April 2021, Available online 19 May 2021, Version of Record 19 May 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126337