| 超前BSDE中Z的性质及其在时滞随机控制中的应用 |
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| 引用本文： | 陈丽.超前BSDE中Z的性质及其在时滞随机控制中的应用[J].山东大学学报(理学版),2010,45(4):16-20. |
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| 作者姓名： | 陈丽 |
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| 作者单位： | 山东大学数学院,山东,济南,250100 |
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| 基金项目： | 国家自然科学基金，山东省自然科学基金 |
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| 摘 要： | 研究了超前倒向随机微分方程的解中关于Z的性质,给出了使得Z有界的充分条件。并将其应用到时滞随机控制系统中,得到一类时滞最优控制的显示解。
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| 关 键 词： | 超前倒向随机微分方程 Malliavin 积分 时滞随机最优控制 |
| 收稿时间： | 2009-10-09 |
Properties on Z for anticipated BSDE and application in stochastic control with delay |
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| CHEN Li.Properties on Z for anticipated BSDE and application in stochastic control with delay[J].Journal of Shandong University,2010,45(4):16-20. |
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| Authors: | CHEN Li |
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| Institution: | School of Mathematics, Shandong University, Jinan 250100, Shandong, China |
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| Abstract: | The properties in respect to Z, the second part solution process of a new type anticipated backward stochastic differential equations (anticipated BSDE) are studied. One sufficient condition is given under which Z is bounded. We apply our result in finding the explicit form of optimal control in the stochastic control problem with delay.
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| Keywords: | anticipated backward stochastic differential equation Malliavin calculus stochastic optimal control with elay |
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