具有受控跳跃的G-SDE松弛随机最优控制的存在性

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastic Analysis and Applications Pub Date : 2021-10-26 DOI:10.1080/07362994.2021.1991809

A. Redjil, H. B. Gherbal, O. Kebiri

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引用次数: 1

摘要

摘要在本文中，我们研究了松弛控制问题，其中容许控制是测度值过程，状态变量由松弛泊松测度驱动的G-随机微分方程（SDE）控制，其中补偿器是乘积测度。控制变量出现在漂移项和跳跃项中。我们证明了我们的SDE与放松控制相关的每一个解都可以写成与严格控制相关的SDE的一系列解的极限（稳定性结果）。最后，我们展示了我们放松控制的存在。

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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Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps

Abstract In this article, we study the relaxed control problem where the admissible controls are measure-valued processes and the state variable is governed by a G-stochastic differential equation (SDEs) driven by a relaxed Poisson measure where the compensator is a product measure. The control variable appears in the drift and in the jump term. We prove that every solution of our SDE associated to a relaxed control can be written as a limit of a sequence of solutions of SDEs associated to strict controls (stability results). In the end, we show the existence of our relaxed control.

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来源期刊

Stochastic Analysis and Applications 数学-统计学与概率论

CiteScore

2.70

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.