摘要
本文研究由连续半鞅随机微分方程描述的可控系统中,Bloza 型代价函数的分析性质,证明了L(u)的方向可微性,作为它的应用,得出使 L(u)最小的最优控制 u_0所满足的必要条件。
In this paper,the analytic propeties of loss functional of Bolza type in controllablesystems are studied in continuous semimartingale stochastic differential equation.It is proved thatfunctional L(u)is directional differentiable.The necessary conditions such as minimizing L(u)onoptimal controls are abtained.
关键词
连续半鞅
Bolza型
代价函数
continuous semimartingale
bolza type loss functional
directional differentiability
locally convex optimization theory
