随机递归最优控制和混合最优控制问题

Stochastic Recursive Optimal Control and Mixed Optimal Control Problems

对随机递归最优控制问题即代价函数由特定倒向随饥微分方程解来描述和递归混合最优摔制问题即控制者还需决定最优停止时刻,得到了最优控制的存在性结果.在一类等价概率测度集中,还给出了递归最优值函数的最小和最大数学期望.

The existence results of the optimal strategy are obtained for the stochastic recursive optimal control problem i.e. the cost function is described by the solution of a certain bacward stochastic differential equation and the recursive mixed optimal control problem i.e. the controller has to decide the optimal stopping time also. The minimal and maximal mathematic expectations for the recursive optimal value function under one kind of equivalent probability measures set are also given in the paper.