| 正倒向随机系统在非光滑指标下最优控制的必要条件 |
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| 引用本文： | 杨博.正倒向随机系统在非光滑指标下最优控制的必要条件[J].复旦学报(自然科学版),2000,39(1):61-67. |
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| 作者姓名： | 杨博 |
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| 作者单位： | 数学研究所 |
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| 基金项目： | 国家自然科学基金!资助项目 ( 79790 1 3 0 ) |
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| 摘 要： | 讨论正倒向随机系统在非光滑指标下的最优控制，用凸变分方法和Ｅｋｅｌａｎｄ变分原理给出了最优控制应满足的必要条件。
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| 关 键 词： | 正倒向随机系统 凸变分方法 最优控制 |
| 文章编号： | 0427-7104(2000)01-006l-07 |
Necessary Conditions for Optimal Controls Of Forward-Backward Stochastic Systems with Nonsmooth Cost Functionals |
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| YANG Bo.Necessary Conditions for Optimal Controls Of Forward-Backward Stochastic Systems with Nonsmooth Cost Functionals[J].Journal of Fudan University(Natural Science),2000,39(1):61-67. |
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| Authors: | YANG Bo |
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| Institution: | Institute of Mathematics |
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| Abstract: | Optimal control problems of forward backward stochastic systems with nonsmooth cost functionals are studied and a necessary condition for optimal control is obtained by convex variational method and Ekeland's variational principle. |
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| Keywords: | forward backward stochastic systems convex variational method Clarke's generalized derivative Ekeland's variational principle |
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