一类部分信息的随机控制问题的极值原理(英文)

A Maximum Principle for a Class of Stochastic Control Problems with Partial Information

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摘要在本文中,我们证明了一类部分信息的随机控制问题的极值原理的一个充分条件和一个必要条件.其中,随机控制问题的控制系统是一个由鞅和Brown运动趋动的随机偏微分方程. In this paper,we prove a sufficient and necessary condition of stochastic maximum principle for a stochastic optimal control problem with partial information,whose controlled system is a stochastic partial differential equation driven by a series of martingales and an independent Brownian motion.

作者冉启康

机构地区上海财经大学应用数学系

出处《应用数学》 CSCD 北大核心 2009年第2期421-429,共9页 Mathematica Applicata

基金 Supported by the Academic Discipline Program,211 Project for Shanghai University of Finance and Economics(the 3rd phase) the Cultivation Fund of the Key Scientific and Technical Innovation Project,Ministry of Education of China (708040)

关键词倒向随机偏微分方程跳时间随机最优控制问题部分信息 Backward stochastic partial differential equations （BSPDEs） Jumping times Stochastic optimal control problem Partial information

分类号 O211.63 [理学—概率论与数理统计]

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1贾秀利,关丽红,闫龙.一类Lévy噪声驱动倒向随机偏微分方程的随机最大值原理[J].吉林大学学报（理学版）,2015,53(3):467-470.

应用数学

2009年第2期

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一类部分信息的随机控制问题的极值原理(英文)

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