随机控制中的一个变分方程问题

A Variation Equation Problem on Stochastic Control

讨论了一个变分方程问题 ,证明了其解的存在性并给出了它的解析表达式 ,还指出了它在随机控制中特别是在有界速度跟踪器上的重要应用 .

This paper discusses a variation equation problem, proves the existence of its solution and gives the analytical expression of the solution, together with its important application on stochastic control, especially on bounded velocity follower problem.