lsamvy过程驱动的随机泛函微分方程的无限视界脉冲控制

Pub Date : 2023-10-04 DOI:10.1080/17442508.2023.2262666
M. Perninge
{"title":"lsamvy过程驱动的随机泛函微分方程的无限视界脉冲控制","authors":"M. Perninge","doi":"10.1080/17442508.2023.2262666","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes\",\"authors\":\"M. Perninge\",\"doi\":\"10.1080/17442508.2023.2262666\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2023-10-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17442508.2023.2262666\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17442508.2023.2262666","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
分享
查看原文
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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信