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| ON SUFFICIENT AND NECESSARY OF EXISTENCE FOR A CLASS OF SINGULAR OPTIMAL STOCHASTIC CONTROL | |
| 引用本文： | LIUKunhui QINMingda LUChuanlai. ON SUFFICIENT AND NECESSARY OF EXISTENCE FOR A CLASS OF SINGULAR OPTIMAL STOCHASTIC CONTROL[J]. 系统科学与复杂性, 2003, 16(4): 424-437 |
| 作者姓名： | LIUKunhui QINMingda LUChuanlai |
| 作者单位： | LIU Kunhui (College of Science，Northern Jiaotong University，Beijing 100044，China)QIN Mingda(Department of Mathematics & Mechanics，Beijing University of Science and Technology，Beijing 100083，China)LU Chuanlai(Department of Information Engineering，Beijing University of Posts & Telecom，Beijing 100876，China) |
| 基金项目： | This research is supported by the National Natural Science Foundation of China |
| 摘 要： | We study a class of discounted models of singular stochastic control. In this kind of models, not only the structure of cost function has been extended to some general type, but also the state can be represented as the solution of a class of stochastic differential equations with nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derive the sufllcient and necessary conditions of the existence of optimal control. |
| 关 键 词： | 奇异最优随机控制 随机微分方程 折扣模型 非线性扩散 变分不等式 |
ON SUFFICIENT AND NECESSARY OF EXISTENCEFOR A CLASS OF SINGULAR OPTIMALSTOCHASTIC CONTROL |
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| LIU Kunhui. ON SUFFICIENT AND NECESSARY OF EXISTENCEFOR A CLASS OF SINGULAR OPTIMALSTOCHASTIC CONTROL[J]. Journal of Systems Science and Complexity, 2003, 16(4): 424-437 | |
| Authors: | LIU Kunhui |
| Abstract: | We study a class of discounted models of singular stochastic control. In this kind of models, not only the structure of cost function has been extended to some general type, but also the state can be represented as the solution of a class of stochastic differential equations with nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derive the sufficient and necessary conditions of the existence of optimal control. |
| Keywords: | Singular stochastic control discounted model stochastic differential equation nonlinear diffusion variational inequality. |
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