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Stochastic near-optimal control for a system with Markovian switching and Lévy noise

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  • Kuang, Daipeng
  • Li, Jianli
  • Gao, Dongdong
  • Luo, Danfeng

Abstract

The near-optimal control conditions of a stochastic system are the main subject of this research work, which will extend some previous results. At first, the stochastic system and its adjoint equations are estimated based on certain mild assumptions on a convex control set. Additionally, utilizing various analysis techniques and Ekeland’s variational principle, sufficient and necessary near-optimality conditions are obtained, independent of the second-order adjoint equation. Ultimately, an example of a biological, mathematical model is used to demonstrate the correctness of the theoretical analysis.

Suggested Citation

  • Kuang, Daipeng & Li, Jianli & Gao, Dongdong & Luo, Danfeng, 2024. "Stochastic near-optimal control for a system with Markovian switching and Lévy noise," Chaos, Solitons & Fractals, Elsevier, vol. 178(C).
    • Handle: RePEc:eee:chsofr:v:178:y:2024:i:c:s0960077923012626
    DOI: 10.1016/j.chaos.2023.114360
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    References listed on IDEAS

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