一类随机控制的变分方程问题

A Kind of Variation Equation Problem on Stochastic Control

讨论了一类变分方程问题,证明了其解的存在性及解析表达式,并指出它在具有随机插入时间的物流问题控制中的应用.

This paper discusses a variation equation problem, proves the existence of its solution and gives the analytical expression of the solution, and points out its application on stochastic liquidity effects control problem with random intervention times.