终时不确定的随机最优控制

Stochastic Optimal Control with Uncertain Terminating Time

文章研究了终时不确定的随机最优控制问题.通过变换,将终时不确定的随机最优控制问题转化为终时确定的随机最优控制问题;然后,利用终时确定的随机最优控制理论来求解.

In this paper, the problem of stochastic optimal control with uncertain terminating time is discussed. By use of transform, the problem of stochastic optimal control with uncertain terminating time is transformed into that with determinate terminating time; then the problem is solved using the theory of stochastic optimal control with determinate terminating time.