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Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lvy processes
  • ISSN号：1005-1031
  • 期刊名称：《高校应用数学学报：英文版（B辑）》
  • 时间：0
  • 分类：O232[理学—运筹学与控制论;理学—数学] TP273.2[自动化与计算机技术—控制科学与工程;自动化与计算机技术—检测技术与自动化装置]
  • 作者机构：[1]School of Mathematics, Shandong University, Jinan 250100, China, [2]Mathematics Department, QiLu Normal Institute, Jinan 250013, China
  • 相关基金：Supported by the National Natural Science Foundation （11221061 and 61174092）, 111 project （B12023）, the National Science Fund for Distinguished Young Scholars of China （11125102） and Youth Foundation of QiLu Normal Institute （2012L1010）.
作者： LI Na[1,2], WU Zhen[1]
关键词： 最优控制问题, 最大值原理, 随机扰动, 延迟, 正倒向随机微分方程, 递归, 控制系统, 唯一性定理
中文摘要：

In this paper,we study the stochastic maximum principle for optimal control problem of anticipated forward-backward system with delay and Lvy processes as the random disturbance. This control system can be described by the anticipated forward-backward stochastic differential equations with delay and L′evy processes(AFBSDEDLs),we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs’ preliminary result with certain classical convex variational techniques,the corresponding maximum principle is proved.

英文摘要：

In this paper, we study the stochastic maximum principle for optimal control prob- lem of anticipated forward-backward system with delay and Lovy processes as the random dis- turbance. This control system can be described by the anticipated forward-backward stochastic differential equations with delay and L~vy processes （AFBSDEDLs）, we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs＇ preliminary result with certain classical convex variational techniques, the corresponding maxi- mum principle is proved.

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期刊信息
  • 《高校应用数学学报：英文版（B辑）》
  • 主管单位:教育部
  • 主办单位:浙江大学 中国工业与应用数学学会
  • 主编：林正炎 李大潜
  • 地址：杭州玉泉浙江大学数学系
  • 邮编：310027
  • 邮箱：amjcu B@eju.edu.cn
  • 电话：0571-87951602
  • 国际标准刊号：ISSN：1005-1031
  • 国内统一刊号：ISSN：33-1171/O
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,美国科学引文索引（扩展库）
  • 被引量:26