摘要
本文研究了由带跳的随机微分方程驱动的风险敏感控制问题.利用测度变换和带跳的二次增长的倒向随机微分方程,证明了此问题最优控制的存在性,并通过相应倒向随机微分方程解的初值给出了此问题的值函数.
In this paper,we deal with the risk sensitive control problem driven by stochastic differential equation with jump.By using the transformation of measure and backward stochastic differential equation with jump and quadratic growth,we prove that the optimal feedback control exists,and the value function for this problem is given by the initial value of the solution of the related BSDE.
作者
李春丽
LI Chun-li(Hubei Province Key Laboratory of Systems Science in Metallurgical Process (Wuhan University of Science and Technology),Wuhan 430081,China;School of Science,Wuhan University of Science and Technology,Wuhan 430065,China)
出处
《数学杂志》
2019年第2期216-226,共11页
Journal of Mathematics
基金
冶金工业过程系统科学湖北省重点实验室(武汉科技大学)开放课题基金资助项目(Y201509)
国家自然科学基金(61473213)
关键词
风险敏感控制
带跳的随机微分方程
测度变换
带跳的二次增长的倒向随机微分方程
risk sensitive control
stochastic differential equation with jump
the transfor-mation of measure
backward stochastic differential equation with jump and quadratic growth
