| 一类具漂移的“跳-停”奇异型随机控制 |
| |
| 引用本文： | 孙世良,吴清玉,庞天霞.一类具漂移的“跳-停”奇异型随机控制[J].数学的实践与认识,2013,43(6). |
| |
| 作者姓名： | 孙世良 吴清玉 庞天霞 |
| |
| 作者单位： | 江苏师范大学数学与统计学院,江苏徐州,221116 |
| |
| 基金项目： | 国家自然科学基金,徐州师范大学重点基金 |
| |
| 摘 要： | 以随机分析和最优控制理论为基础,讨论了一类带停时的奇异型随机控制问题.在原模型状态过程的基础上添加了漂移因子,并将原模型中的控制费用函数推广为一般的费用函数.在某些条件下,得到"跳一停"策略是其最优控制策略,并给出了"跳一停"策略存在的条件以及控制方法,所得的结论在实际中有较深的应用背景.
|
| 关 键 词： | 随机控制 停时 漂移 “跳-停”控制策略 |
A Class of "Fail-Stop" Singular Stochastic Control Problem with Drift |
| |
| SUN Shi-liang
,
WU Qing-yu
,
PANG Tian-xia.A Class of "Fail-Stop" Singular Stochastic Control Problem with Drift[J].Mathematics in Practice and Theory,2013,43(6). |
| |
| Authors: | SUN Shi-liang WU Qing-yu PANG Tian-xia |
| |
| Abstract: | By stochastic analysis method and optimal control theory,the paper discusses a class of singular stochastic control problem with stopping time,introduces a drift factor into the state and extends the cost structure from special to general functions.Under some conditions,the "fail-stop" control is optimal,also,the conditions of the "fail-stop" strategy and its control method are given.The conclusion in this paper has a fairly deep application. |
| |
| Keywords: | Stochastic control stopping time drift "fail-stop" control strategy |
| 本文献已被 万方数据 等数据库收录！ |
|
