数学物理学报(英文版) ›› 2004, Vol. 24 ›› Issue (1): 139-150.

• 论文 • 上一篇    下一篇

A CLASS OF STATIONARY MODELS OF SINGULAR STOCHASTIC CONTROL

刘坤会,秦明达,陆传赉   

  1. College of Science, Northern Jiaotong University, Beijing 100044, China Department of Mathematics &|Mechanics, Beijing University of Science &|Technology, Beijing 100083, China Department of Information Engineering, Beijing University of Posts &|Telecom, Beijing 100876, China
  • 出版日期:2004-07-13 发布日期:2004-07-13
  • 基金资助:

    . Supported by the National Science Foundation of China.

A CLASS OF STATIONARY MODELS OF SINGULAR STOCHASTIC CONTROL

 LIU Kun-Hui, QIN Meng-Da, LIU Chuan-Lai   

  • Online:2004-07-13 Published:2004-07-13
  • Supported by:

    . Supported by the National Science Foundation of China.

摘要:

A class of stationary models of singular stochastic control has been studied,
in which the state is extended to solution of a class of S.D.E. from Wiener process. The
existence of optimal control has been proved in all cases under some weaker conditions,
and the structure of optimal control may be characterized.

Abstract:

A class of stationary models of singular stochastic control has been studied,
in which the state is extended to solution of a class of S.D.E. from Wiener process. The
existence of optimal control has been proved in all cases under some weaker conditions,
and the structure of optimal control may be characterized.

Key words: Singular stochastic control, stationary model;stochastic differential equa- tion;variational equation system

中图分类号: 

  • 93E20