一类具有扩散的奇异型随机控制的非对称平稳模型

该文讨论了一类奇异型随机控制的平稳模型,其费用结构中的函数不限于偶函数,其状态过程为扩散型且具有“非对称的”(关于原点)漂移及扩散系数.因此,奇异型随机控制中的平稳问题被实质性地推广到更一般的形式。该文求得了与此类问题有关的一个变分方程组的解,并且证明了最佳控制的存在性.

On the Nonsymmetric Stationary Models of Singular Stochastic Control for Diffusions

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.