| 一类与半鞅有关的推广型脉冲控制(I) |
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| 引用本文： | 刘坤会. 一类与半鞅有关的推广型脉冲控制(I)[J]. 系统科学与数学, 2005, 25(1): 096-105 |
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| 作者姓名： | 刘坤会 |
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| 作者单位： | 北京交通大学理学院 |
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| 摘 要： | 本篇首次将关于半鞅的随机微分方程的解过程引入平稳型脉冲控制的状态结构,建立了一种新的模型,从而实质性地推广了此前的各类平稳型脉冲随机控制模型.本篇通过新的分析手法证明了与新模型相关的变分方程解的存在性,这种新方法比以前类似问题的分析方法更直接、更明快.
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| 关 键 词： | 脉冲控制 半鞅 变分方程 平稳模型 最佳 |
A CLASS OF EXTENDED IMPULSE CONTROLS RELATED TO SEMIMARTINGALE(I) |
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| Kun Hui LIU. A CLASS OF EXTENDED IMPULSE CONTROLS RELATED TO SEMIMARTINGALE(I)[J]. Journal of Systems Science and Mathematical Sciences, 2005, 25(1): 096-105 |
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| Authors: | Kun Hui LIU |
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| Affiliation: | College of Science, Beijing Jaotong University |
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| Abstract: | In this paper we first intorduce the solution processes of stochastic differential equation with semimartingaleto state structure of stationary impulse control and set up a new model, thus all kinds of former stationary impulsestochastic control models are substantially extended. In this paperwe prove the solution existence of variational equation about new model by applying a new analytic method, this method is more directand more clear than other analytic methods of similar questions before. |
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| Keywords: | Impulse control semimartingale variational equation stationary model optimal control. |
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