Optimal Control of a Multifactor Uncertain System

Along with the development of the modern science and technology, people face a lot of data in different areas of production and life. In dealing with these data which include many indeterminant factors, we can use the multifactor uncertain system to describe a dynamical system with uncertain noises. Optimal control problem is an important research topic which aims at finding the optimal strategy in a dynamical system. In this paper, we consider the optimal control problem for the multifactor uncertain system with two evaluation criterions. Then a two person zero sum differential game model in a multifactor uncertain system is discussed. Finally, as an application, our result is used to solve an uncertain portfolio game model.