Sequential Improvement Method in Probabilistic Criteria Optimization Problems for Linear-in-State Jump Diffusion Systems

Abstract

Here we study the problems of probabilistic and quantile optimization of multidimensional controllable jump diffusion. As the main tool we use Chebyshev-type probability estimates. With them the problems under consideration are reduced to one auxiliary deterministic optimal control problem in terms of the moment characteristics of the process. To find its solution, we use Krotov’s global improvement method.