关键词: 奇异型随机控制；平稳模型；随机微分方程；变分方程组； 非对称随机控制

Abstract:

A class of stationary models of singular  stochastic control is discussed, in which the functions in cost structure are n ot restricted to even functions, and the state processes are diffusions with “n onsymmetric” (about the origin) drift and diffusion coefficients. Thus, the sta tionary problems for singular stochastic control have been essentially extended  to more general forms. The solution of a variational equation system correspondi ng to this kind of problems is obtained. The existence of optimal controls is de rived.

Key words: Singular stochastic control, Stationary model, Stochasti c differential qeuation, Variational equation system, Nonsymmetric stoch astic control