期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

带有Fractional Brownian Motion和Markovian调制的随机资产积累的最优逼近控制

Best Approximation of Control of Stochastic Asset Accumulation System with Fractional Brownian Motion and Markov Process
下载PDF
导出
摘要 给出了一类带有分数布朗运动(Fractional Brownian Motion,FBM)和马尔科夫过程(Markov Process,MP)的随机资产积累模型,讨论了该系统的最优逼近控制存在的问题,得到了相应的伴随方程哈密顿函数.应用Ekeland变分原理、Ito's公式及常用不等式证明了这类带有随机的资产积累系统的最优逼近控制存在的必要条件. The paper discusses the problems in best approximation control in the system which is presented by a kind of stochastic asset accumulation model with Fractional Brownian Motion（ FBM） and Marvokian process. Then adjoint equation and Hamiltonian function are obtained. In addition,Ekeland variational principle,Ito＇s formula and inequalities are used to prove the necessary conditions for the existence of the best approximation control of stochastic asset accumulation system.
作者 崔世崇
机构地区 长春工业大学基础科学学院
出处 《成都大学学报（自然科学版）》 2015年第4期357-363,共7页 Journal of Chengdu University（Natural Science Edition）
关键词 FRACTIONAL BROWNIAN Motion MARKOV Process 最优逼近控制 最大值原理 Ekeland变分 Ito's公式 Fractional Brownian Motion Markov process best approximation control maximum principle Ekeland＇s variational principle Ito＇s formula
分类号 O211.63 [理学—概率论与数理统计] O232 [理学—运筹学与控制论]
  • 相关文献

参考文献14

  • 1Hritonenko N, Yatsenko Yu. Turnpike properties of optimal delay in integral dynam/c models [ J ]. J Opt Theor Appl, 2005, 127 (3) : 109 - 127.
  • 2Feichtinger G,Hard R,Kort P,et al. Capita/accumulation under technological progress and learning: A vintage capital approach [J]. Eur J Oper Res,2006,172(2):293 - 310.
  • 3Goetz R,I-hStonenko N. The optimal economic lifetime of vintage capital in the presence of operating costs, technological progress, and learn/ng[ J] .J Econ Dyn Contr,2008,32(6):3032- 3053.
  • 4Ma W J, Zhemg Q M, Hem C Z. Numerical analysis for stochastic age-depedent population equations with fractional Brownian mo- tion [ J ]. Comm Nonl Sci Num Sim, 2012,17 ( 4 ) : 1884 - 1893.
  • 5Zhou X Y. Stochastic near-optimal controls: Necessary and surf- cient conditions for near-optimality[J] .STAM J Control Optimal, 1998,36(3) :917 - 929.
  • 6Tang M N. Stochastic maximum principle of ncar-optimal control of fully coupled forward-backward stochastic differential equatio [ J ]. Abstr appl anal, 2014, special issue(1) : 558 - 577.
  • 7Al'mled N U. Generalized solutions of HJB equations applied to stochastic control on hilbert space [ J]. Nonl Anal, 2003,54 (3) :495 - 523.
  • 8Shi J T, Yong J M. Necessary conditions for optimal control of forward- baclmard stochastic systems with random jumps [ J]. lnt ] Stoch Anal,2012,26(5) :50.
  • 9Mezerdi B. Necessary conditions for optimality for a diffusion with non-smooth drift[ J]. Stochastics, 1988,24(4) :305 - 326.
  • 10Boualem D, Brahim M,Farid C. The stochastic maxipdnci- ole in optimal control of degenerate diffusions with non-smooth coefficients[J]. Rand Oper Stoch Eq,2009,17(2):35- 53.
成都大学学报（自然科学版）
2015年 第4期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部