Stochastic maximum principle for systems driven by local martingales with spatial parameters

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2021-06-02 DOI:10.3934/puqr.2021011

Jian Song, M. Wang

引用次数: 0

Abstract

We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the stochastic maximum principle as the necessary condition for an optimal control, and we also prove its sufficiency under proper conditions. The stochastic linear quadratic problem in this setting is also discussed.

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空间参数局部鞅驱动系统的随机极大值原理

研究了具有空间参数的局部鞅驱动的随机微分方程动力系统的随机最优控制问题。在控制域为凸性的前提下，得到了随机极大值原理作为最优控制的必要条件，并在适当条件下证明了其充分性。讨论了这种情况下的随机线性二次问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.