一类奇异型随机控制平稳问题的推广
일류기이형수궤공제평은문제적추엄
Extended Stationary Problem About a Stochastic Control of Singular Type
  • 万方数据
    淮阴师范学院学报（自然科学版） 회음사범학원학보（자연과학판）
    JOURNAL OF HUAIYIN TEACHERS COLLEGE (NATURAL SCIENCE EDITION)
    2013年 3期 189-194 ,共6页

    黄晓倩%孙世良

    황효천%손세량

    奇异型随机控制%平稳问题%不连续%变分方程组 奇異型隨機控製%平穩問題%不連續%變分方程組
    기이형수궤공제%평은문제%불련속%변분방정조
    singular stochastic control%stationary problem%discontinuous%variational equation
    研究了一类受控状态是一类带有不连续漂移项的随机微分方程的解过程的奇异型随机控制模型的平稳问题，得到了最优控制策略和最优费用函数。
    연구료일류수공상태시일류대유불련속표이항적수궤미분방정적해과정적기이형수궤공제모형적평은문제，득도료최우공제책략화최우비용함수。
    In this paper ,the stationary problem of a singular stochastic control model of which the state processes are the solutions to a class of SDES with discontinuous drift terms are discussed .The optimal control strategy and the associated cost function are presented.
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