摘要
以随机分析和最优控制理论为基础,讨论了一类带停时的奇异型随机控制问题.在原模型状态过程的基础上添加了漂移因子,并将原模型中的控制费用函数推广为一般的费用函数.在某些条件下,得到"跳一停"策略是其最优控制策略,并给出了"跳一停"策略存在的条件以及控制方法,所得的结论在实际中有较深的应用背景.
By stochastic analysis method and optimal control theory, the paper discusses a class of singular stochastic control problem with stopping time, introduces a drift factor into the state and extends the cost structure from special to general functions. Under some conditions, the ＂fail-stop＂ control is optimal, also, the conditions of the ＂fail-stop＂ strategy and its control method are given. The conclusion in this paper has a fairly deep application.
出处
《数学的实践与认识》
CSCD
北大核心
2013年第6期215-221,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金(10971180)
徐州师范大学重点基金(09XLA02)
关键词
随机控制
停时
漂移
“跳-停”控制策略
Stochastic control
stopping time
drift
＂fail-stop＂ control strategy
