This paper focuses on optimal control of nonlinear stochastic delay system constructed through Teugels martingales associated with Lévy processes and standard Brownian motion,in which finite horizon is extended t...This paper focuses on optimal control of nonlinear stochastic delay system constructed through Teugels martingales associated with Lévy processes and standard Brownian motion,in which finite horizon is extended to infinite horizon.In order to describe the interacting many-body system,the expectation values of state processes are added to the concerned system.Further,sufficient and necessary conditions are established under convexity assumptions of the control domain.Finally,an example is given to demonstrate the application of the theory.展开更多
基金supported by Science Engineering Research Board(SERB),DST,GovtYSS Project F.No:YSS/2014/000447 dated 20.11.2015UGC,New Delhi,for providing BSR fellowship for the year 2015.
文摘This paper focuses on optimal control of nonlinear stochastic delay system constructed through Teugels martingales associated with Lévy processes and standard Brownian motion,in which finite horizon is extended to infinite horizon.In order to describe the interacting many-body system,the expectation values of state processes are added to the concerned system.Further,sufficient and necessary conditions are established under convexity assumptions of the control domain.Finally,an example is given to demonstrate the application of the theory.
