lsamvy过程驱动的随机泛函微分方程的无限视界脉冲控制

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2023-10-04 DOI:10.1080/17442508.2023.2262666

M. Perninge

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引用次数: 1

摘要

在系数附加的Lp-Lipschitz条件下，研究由lsamvy过程驱动的随机泛函微分方程的脉冲控制问题。我们的结果，首先推导了一个一般的随机优化问题在无限视界脉冲控制，然后应用到一个受控的SFDE的情况下，适用于无限视界以及随机视界设置。证明最优控制存在性的方法是基于Snell包络概念的概率方法。

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Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes

We consider impulse control of stochastic functional differential equations (SFDEs) driven by Lévy processes under an additional Lp-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic optimization problem over infinite horizon impulse controls and then applied to the case of a controlled SFDE, apply to the infinite horizon as well as the random horizon settings. The methodology employed to show existence of optimal controls is a probabilistic one based on the concept of Snell envelopes.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.