摘要
研究了一类带停时的非对称的奇异型随机控制的折扣问题,不论是从受控状态过程还是从费用函数均推广为较一般的情形,得到"跳-停"策略是其最优控制策略,并给出了"跳-停"策略存在的条件、最优费用函数以及控制方法,所得的结论在实际中有较深的应用背景。
This paper studies a class of nonsymmetric discount problem of singular stochastic control with stopping time, the state process and cost function are extended to general case, the ＂fail-stop＂ control strategy is its optimal control, the existence conditions of the ＂fail-stop＂ strategy, optimal control function and control method are given, the conclusion in this paper is of importance in application.
出处
《系统科学与数学》
CSCD
北大核心
2012年第5期522-531,共10页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(10971180)资助项目
关键词
奇异型随机控制
停时
折扣问题
“跳-停”控制策略
Singular stochastic control, stopping time, discount problem, ＂fail-stop＂ control strategy.
