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一类脉冲控制模型的最小费用问题(英文)

The Minimum Cost Problem on a Class of Impulse Control Model
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摘要 本文研究了一类脉冲控制模型的最小费用问题,在一定条件下,给出了相应的最佳费用函数具体解析式. This paper studies the minimum cost problems on a class of impulse control model, with a certain conditions, it gives an explicit value which is the minimum of the cost function.
作者 黄廷章
机构地区 潍坊学院数学系
出处 《运筹学学报》 CSCD 北大核心 2006年第3期73-76,共4页 Operations Research Transactions
关键词 运筹学 费用函数 脉冲控制 停时 Operation research, cost function, impulse control, stopping time, jump
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参考文献5

  • 1I. Karatzas and S.E. Shreve. Equivalent models for finite-fuel stochastic control. Stochastics, 1986, 18: 145-276.
  • 2Jeanblanc-Pique.m. Impulse control method and exchange rate. Math.Finance, 1993, 3:162-177.
  • 3K.Ito and H.P.Mckean, Jr., Diffusion Process and their Sample Paths. Springer-Verlag, Berlin, 1974.
  • 4Ralf Korn. Optimal impulse control when control actions have random consequences. Mathematics of Operations research, 1997, 22: 639-667.
  • 5Scott. F. Richard. Optimal impulse control of a diffusion process with both fixed and proportional costs of control. SIAM Journal on Control and Optimization, 1977, 15(1): 79-91.

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