G-期望效用下最优控制问题的随机极大值原理

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2022-05-31 DOI:10.1515/rose-2022-2076

Meriyam Dassa, A. Chala

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引用次数: 0

摘要

摘要在本文中，我们讨论了一个最优控制问题，其中系统由G-随机微分方程驱动，其中一组可容许控制是凸的。我们为这个模型建立了充分和必要的最优性条件。在这项工作的最后，我们通过给出一个处理线性二次问题的例子来说明我们的主要结果。

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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Stochastic maximum principle for optimal control problem under G-expectation utility

Abstract In this paper, we are concerned with an optimal control problem where the system is driven by a G-stochastic differential equation, where an admissible set of controls is convex. We establish necessary as well as sufficient optimality conditions for this model. At the end of this work, we illustrate our main result by giving an example that deals with the linear-quadratic problem.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量