一类"跳-停"奇异型随机控制模型的推广

Extended a Class of Singular Stochastic Control Models of "Fail-Stop"

  • 摘要: 本文推广了一类带停时的奇异型随机控制模型的折扣问题. 不论是从受控状态过程还是从费用函数均推广为较一般的情形. 以随机分析和最优控制理论为基础, 得到"跳-停"策略是其最优控制策略, 并给出了"跳-停"策略存在的条件、最优费用函数以及控制方法. 所得的结论在实际中有较深的应用背景.

     

    Abstract: This paper extends a class of discount problem of singular stochastic control with stopping time. We extend the state process and cost function to general case. By stochastic analysis and optimal control theory, the "fail-stop" control strategy is its optimal control. The conditions of the "fail-stop" strategy and optimal control function and control method are given. The conclusion in this paper has a fairly deep application.

     

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