带有泊松过程的物流控制的遍历性

The Ergodicity on Liquidity Effects Control with Poisson Process

讨论了一类带有泊松过程的随机控制问题 ,其主要特点是 ,控制是在外在的不可控制的泊松过程的到达时刻上施行的。探讨了遍历准则问题 (单位时间平均期望成本问题 ) ,推广了费用函数 。

This paper discusses a class of stochastic control problem with poisson process,whose main feature is that the control can be exerted at the arrival times of an exogenous uncontrolled poisson process.We discuss a ergodic criteria problem (average mean cost per time),generalize the cost function,give the explicit solutions.