混合型随机模型的最优控制策略研究

Research on the Optimal Control Strategy for Hybrid Type of Stochastic Control Model

建立了一类受控包括正则过程与奇异过程的混合型随机模型;为了获得值函数(目标函数)的最大值,针对不同的参数,运用随机分析的方法,得出了其相应的最优控制策略。

This paper constructs a class of hybrid type of stochastic control model that includes regular process and singular process. In order to obtain the maximum of value function (i.e., objective function), by using the method of stochastic analysis, we give the corresponding optimal strategies with different parameters.