| 摘要: |
| 本文研究了带跳的随机微分方程驱动的风险敏感控制问题.
利用测度变换和带跳的系数二次增长的倒向随机微分方程, 给出了此风险敏感控制问题的最优控制和值函数. |
| 关键词: 风险敏感控制 带跳的随机微分方程 测度变换 带跳的倒向随机微分方程 |
| DOI： |
| 分类号:o |
| 基金项目:国家自然科学基金项目（面上项目）;武汉科技大学冶金工业过程系统科学湖北省重点实验室开放课题基金资助项目 |
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| The application of BSDE in risk sensitive control problem under the framework with jump |
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LiChunLi
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College of Science, Wuhan University of Science and Technology
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| Abstract: |
| In this paper, the risk sensitive control problem driven by stochastic differential equation with jump is dealt with.
Using the transformation of measure and backward stochastic differential equation with quadratic growth,
we give the optimal control and the value function . |
| Key words: risk sensitive control stochastic differential equation with jump the transformation of measure backward stochastic differential equation with jump |
