We study a class of discounted models of singular stochastic control. In thiskind of models, not only the structure of cost function has been extended to some general type, butalso the state can be represented as the ...We study a class of discounted models of singular stochastic control. In thiskind of models, not only the structure of cost function has been extended to some general type, butalso the state can be represented as the solution of a class of stochastic differential equationswith nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derivethe sufficient and necessary conditions of the existence of optimal control.展开更多
基金This research is supported by the National Natural Science Foundation of China
文摘We study a class of discounted models of singular stochastic control. In thiskind of models, not only the structure of cost function has been extended to some general type, butalso the state can be represented as the solution of a class of stochastic differential equationswith nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derivethe sufficient and necessary conditions of the existence of optimal control.
