J4 ›› 2012, Vol. 50 ›› Issue (02): 263-266.

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Sufficient Maximum Principle of Stochastic OptimalControl with Delay and Jump Diffusion

XING Lei1,2   

  1. 1. Institute of Mathematics, Jilin University, Changchun 130012, China;2. College of Basic Sciences, Changchun University of Technology, Changchun 130012, China
  • Received:2012-01-20 Online:2012-03-26 Published:2012-03-21
  • Contact: XING Lei E-mail:xinglei1981@yahoo.cn

Abstract:

We  applied the It formula and convex analysis to solve the problem of the existence of optimal control variable in a state variable with delay and jump diffusion. Finally, we obtained the sufficient maximum principle. Also, we  established the Hamiltonian and adjoint equation with some assumptions of the functions.

Key words: stochastic differential equation, jump diffusion, delay, sufficient maximum principle

CLC Number: 

  • O232