共查询到20条相似文献,搜索用时 78 毫秒
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吴霜 《数学年刊A辑(中文版)》2021,42(1):75-88
作者研究了一个条件平均场随机微分方程的最优控制问题.这种方程和某些部分信息下的随机最优控制问题有关,并且可以看做是平均场随机微分方程的推广.作者以庞特里雅金最大值原理的形式给出最优控制满足的必要和充分条件.此外,文中给出一个线性二次最优控制问题来说明理论结果的应用. 相似文献
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讨论了正倒向随机微分方程解的比较问题.阐述了正倒向随机微分方程在随机最优控制、现代金融理论中的广泛而深刻的应用, 对于一类正倒向随机微分方程, 利用Ito公式、停时等随机分析方法,通过构造辅助正倒向随机微分方程,得到了正倒向随机微分方程解的比较定理. 相似文献
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本文研究了带Poisson 跳跃的正倒向随机延迟系统的递归最优控制问题. 利用经典的针状变分方法、对偶技术和带Poisson 跳跃的超前倒向随机微分方程的相关结果, 证明了最优控制的最大值原理, 包括了最优控制满足的必要条件和充分条件. 相似文献
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该文研究了非Lipschitz条件下的倒向重随机微分方程, 给出了此类方程解的存在唯一性 定理, 推广Pardoux和Peng 1994年的结论; 同时也得到了此类方程在非Lipschitz条件下的比较定理, 推广了Shi,Gu和Liu 2005年的结果. 从而推广倒向重随机微分方程在随机控制和随机偏微分方程在 粘性解方面的应用. 相似文献
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本文从随机微分方程和倒向随机微分方程基本理论和应用背景谈起,结合随机最优控制理论和金融市场中的期权定价理论导出完全耦合的正倒向随机微分方程的形式.进而从该类方程的可解性这一角度出发,对已有的理论方法进行分析和探讨,引入一种非马尔科夫框架下保证解的存在唯一性的“统一框架”方法,给出比较定理、解的高维估计等重要性质,并联系相关偏微分方程系统给出其概率解释.对实际中应用广泛的线性正倒向随机微分方程引入了一种线性变换的方法作为“统一框架”方法的重要补充和完善,使得正倒向随机微分方程的应用更加广泛. 相似文献
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对随机递归最优控制问题即代价函数由特定倒向随机微分方程解来描述和递归混合最优控制问题即控制者还需 决定最优停止时刻, 得到了最优控制的存在性结果. 在一类等价概率测度集中,还给出了递归最优值函数的最小和最大数学期望. 相似文献
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本文研究一类带Lipschitz 系数的超前倒向重随机微分方程。首先利用压缩映像原理得到这类方程的解的存在唯一性,然后给出一维情形下几种不同形式的比较定理,并给出大量的例子来展示所得理论结果的应用。 相似文献
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胡世培 《数学年刊A辑(中文版)》2013,34(2):179-204
讨论线性二次最优控制问题, 其随机系统是由 L\'{e}vy 过程驱动的具有随机系数而且还具有仿射项的线性随机微分方程.
伴随方程具有无界系数, 其可解性不是显然的. 利用 $\mathscr{B}\mathscr{M}\mathscr{O}$ 鞅理论, 证明伴随方程在有限
时区解的存在唯一性. 在稳定性条件下, 无限时区的倒向随机 Riccati 微分方程和伴随倒向随机方程的解的存在性是通过对应有限
时区的方程的解来逼近的. 利用这些解能够合成最优控制. 相似文献
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Hom-李代数是一类满足反对称和Hom-Jacobi等式的非结合代数.扭Heisenberg-Virasoro代数是次数不超过1的微分算子代数的中心扩张,它是一类重要的无限维李代数,与一些曲线的模空间有关.文章主要研究扭Heisenberg-Virasoro代数上Hom-李代数结构,确定了扭Heisenberg-Virasoro代数上存在非平凡的Hom-李代数结构. 相似文献
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The twisted Heisenberg-Virasoro algebra is the universal central extension of the Lie algebra of differential operators on a circle of order at most one. In this paper, we first study the variety of semi-conformal vectors of the twisted Heisenberg-Virasoro vertex operator algebra, which is a finite set consisting of two nontrivial elements. Based on this property,we also show that the twisted Heisenberg-Virasoro vertex operator algebra is a tensor product of two vertex operator algebras. Moreover, associating to properties of semi-conformal vectors of the twisted Heisenberg-Virasoro vertex operator algebra, we charaterized twisted Heisenberg-Virasoro vertex operator algebras. This will be used to understand the classification problems of vertex operator algebras whose varieties of semi-conformal vectors are finite sets. 相似文献
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Hom-Lie algebras were introduced by J. Hartwig, D. Larsson, and S. Silvestrov as a generalized Lie algebra. When studying
the homology and cohomology theory of Hom-Lie algebras, the authors find that the low-dimensional cohomology theory of Hom-Lie
algebras is not well studied because of the Hom-Jacobi identity. In this paper, the authors compute the first and second cohomology
groups of the q-deformed Heisenberg-Virasoro algebra of Hom-type, which will be useful to build the low-dimensional cohomology theory of
Hom-Lie algebras. 相似文献
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With the cohomology results on the Virasoro algebra, the authors
determine the second cohomology group on the twisted
Heisenberg-Virasoro algebra, which gives all deformations on the
twisted Heisenberg-Virasoro algebra. 相似文献
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The compatible left-symmetric algebra structures on the twisted Heisenberg-Virasoro algebra with some natural grading conditions are completely determined. The results of the earlier work on left-symmetric algebra structures on the Virasoro algebra play an essential role in determining these compatible structures. As a corollary, any such left-symmetric algebra contains an infinite-dimensional nontrivial subalgebra that is also a submodule of the regular module. 相似文献
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Poisson代数是指同时具有代数结构和李代数结构的一类代数,其乘法与李代数乘法满足Leibniz法则.扭Heisenberg-Virasoro代数是一类重要的无限维李代数,是次数不超过1的微分算子李代数W(0)的普遍中心扩张,与曲线的模空间有密切联系.本文主要研究扭Heisenberg-Virasoro代数上的Poisson结构,首先确定了李代数W(0)上的Poisson结构,进而给出了扭Heisenberg-Virasoro代数上的Poisson结构. 相似文献
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Wolfgang Bock Vyacheslav Futorny Mikhail Neklyudov 《Journal of Pure and Applied Algebra》2021,225(3):106535
A realization by linear vector fields is constructed for any Lie algebra which admits a biorthogonal system and for its any suitable representation. The embedding into Lie algebras of linear vector fields is in analogue to the classical Jordan—Schwinger map. A number of examples of such Lie algebras of linear vector fields is computed. In particular, we obtain examples of the twisted Heisenberg-Virasoro Lie algebra and the Schrödinger-Virasoro Lie algebras among others. More generally, we construct an embedding of an arbitrary locally convex topological algebra into the Cuntz algebra. 相似文献
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Faouzi Ammar Abdenacer Makhlouf Nejib Saadaoui 《Czechoslovak Mathematical Journal》2013,63(3):721-761
Hom-Lie algebra (superalgebra) structure appeared naturally in q-deformations, based on σ-derivations of Witt and Virasoro algebras (superalgebras). They are a twisted version of Lie algebras (superalgebras), obtained by deforming the Jacobi identity by a homomorphism. In this paper, we discuss the concept of α k -derivation, a representation theory, and provide a cohomology complex of Hom-Lie superalgebras. Moreover, we study central extensions. As application, we compute derivations and the second cohomology group of a twisted osp(1, 2) superalgebra and q-deformed Witt superalgebra. 相似文献
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Let A be a multiplicative Hom-associative algebra and L a multiplicative Hom-Lie algebra together with surjective twisting maps. We show that if A is a sum of two commutative Hom-associative subalgebras, then the commutator Hom-ideal is nilpotent. Furthermore, we obtain an analogous result for Hom-Lie algebra L extending Kegel's Theorem. Finally, we discuss the Hom-Lie ideal structure of a simple Hom-associative algebra A by showing that any non-commutative Hom-Lie ideal of A must contain [A, A]. 相似文献