时滞带跳随机最优控制的充分型最大值原理

Sufficient Maximum Principle of Stochastic Optimal Control with Delay and Jump Diffusion

应用Ito^公式和凸分析方法,研究带有时滞和跳扩散项的随机问题最优控制变量的存在性,得到了该问题的充分型最大值原理.建立了原问题的Hamilton函数和伴随方程,并对其中的函数进行了相应的假设约束.

We applied the It formula and convex analysis to solve the problem of the existence of optimal control variable in a state variable with delay and jump diffusion.Finally,we obtained the sufficient maximum principle.Also,we established the Hamiltonian and adjoint equation with some assumptions of the functions.