退化g期望下随机最优控制问题的动态规划原理

IF 2.1 3区计算机科学 Q3 AUTOMATION & CONTROL SYSTEMS

Systems & Control Letters Pub Date : 2025-02-01 DOI:10.1016/j.sysconle.2024.105988

Xiaojuan Li

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引用次数: 0

摘要

研究了退化g期望下的随机最优控制问题。利用隐式划分方法，我们证明了对于容许控制的近似结果仍然成立。在此基础上，得到了动态规划原理，并证明了该值函数是退化情况下相关HJB方程的唯一黏度解。

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Dynamic programming principle for stochastic optimal control problem under degenerate G-expectation

In this paper, we study a stochastic optimal control problem under degenerate

G

-expectation. By using implied partition method, we show that the approximation result for admissible controls still hold. Based on this result, we obtain the dynamic programming principle, and prove that the value function is the unique viscosity solution to the related HJB equation under degenerate case.

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来源期刊

Systems & Control Letters 工程技术-运筹学与管理科学

CiteScore

4.60

自引率

3.80%

发文量

144

审稿时长

6 months

期刊介绍： Founded in 1981 by two of the pre-eminent control theorists, Roger Brockett and Jan Willems, Systems & Control Letters is one of the leading journals in the field of control theory. The aim of the journal is to allow dissemination of relatively concise but highly original contributions whose high initial quality enables a relatively rapid review process. All aspects of the fields of systems and control are covered, especially mathematically-oriented and theoretical papers that have a clear relevance to engineering, physical and biological sciences, and even economics. Application-oriented papers with sophisticated and rigorous mathematical elements are also welcome.