| 与随机微分方程联系的两个优化模型 |
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| 引用本文： | 刘坤会.与随机微分方程联系的两个优化模型[J].北京交通大学学报(自然科学版),2000,24(2). |
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| 作者姓名： | 刘坤会 |
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| 作者单位： | 北方交通大学理学院!北京100044 |
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| 摘 要： | 研究了奇异型随机控制中的折扣费用模型 ,将其状态结构由Wiener过程推广到一类随机微分方程的解过程 ,并指出平稳模型亦可作类似推广
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| 关 键 词： | 随机微分方程 奇异型随机控制 折扣问题 平稳问题 |
Two Optimal Models Associated with Stochastic Differential Equations |
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| LIU Kun,hui.Two Optimal Models Associated with Stochastic Differential Equations[J].JOURNAL OF BEIJING JIAOTONG UNIVERSITY,2000,24(2). |
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| Authors: | LIU Kun hui |
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| Abstract: | This paper studies the discounted problem of singular stochastic control and extends the state from Wiener process to solution processes of stochastic differential equations, also it points out the stationary problem can be extended similarly. |
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| Keywords: | stochastic differential equation singular stochastic control discounted problem stationary problem |
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