| 伊藤-泊松型随机微分方程的线性二次控制 |
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| 引用本文： | 葛新同,盛万成.伊藤-泊松型随机微分方程的线性二次控制[J].应用数学与计算数学学报,2005,19(1):75-80. |
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| 作者姓名： | 葛新同 盛万成 |
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| 作者单位： | 上海大学数学系,上海,200444 |
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| 摘 要： | 本文研究伊藤-泊松型随机微分方程的线性二次控制问题,利用动态规划方法、伊藤公式等技巧,通过解HJB方程,我们得到了随机Riccati方程及另外两个微分方程,求出控制变量,解决了线性二次最优控制最优问题.
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| 关 键 词： | 伊藤-泊松型随机微分方程(即跳扩散方程) 倒向随机微分方程 动态规划方法 线性二次最优控制 HJB方程 Riccati方程 |
| 修稿时间： | 2004年12月2日 |
Linear-Quadratic Control of Ito-Poisson Stochastic Diffenertial Equations |
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| Ge Xintong,Sheng Wancheng.Linear-Quadratic Control of Ito-Poisson Stochastic Diffenertial Equations[J].Communication on Applied Mathematics and Computation,2005,19(1):75-80. |
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| Authors: | Ge Xintong Sheng Wancheng |
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| Institution: | Ge Xintong Sheng Wancheng Department of Mathematics,Shanghai University,Shanghai,200444 |
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| Abstract: | This paper is concerned with the optimal control of linear Ito-Poisson stochastic differential equation (SDE) with a quadratic cost criteria, namely linear-quadratic (LQ) control. The control variable is obtained by the dynamic programming. The key steps in our derivation are introducing of Ito formula, a Riccati type equation and two differential equations by HJB equation. The optimal solution for the control problem is obtained. |
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| Keywords: | Ito-Poisson stochastic differential equation(SDE) backward stochastic differential equation(BSDE) linear-quadratic(LQ) optimal control riccati equation dynamic programming HJB equation jump-Diffusion process |
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