STOCHASTIC LINEAR QUADRATIC OPTIMAL CONTROL PROBLEMS WITH RANDOM COEFFICIENTS

来源 :数学年刊B辑(英文版) | 被引量 : 0次 | 上传用户:gymc2009
下载到本地 , 更方便阅读
声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架
论文部分内容阅读
This paper studies a stochastic linear quadratic optimal control problem (LQ problem, for short), for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. The authors introduce the stochastic Riccati equation for the LQ problem. This is a backward SDE with a complicated nonlinearity and a singularity. The local solvability of such a backward SDE is established, which by no means is obvious. For the case of deterministic coefficients, some further discussions on the Riccati equations have been carried out. Finally, an illustrative example is presented.
其他文献
The kinetics of the oxidation of glycol by dihydroxyditelluratoargentate (Ⅲ) complex(DDA) was studied in alkaline medium with spectrophotometry(in a temperatur
随着社会的发展,著作权使用语管理面临着新的挑战.考察国外管理著作权集体管理的发展进程,在借鉴中谋求发展.归纳我国关于著作权使用中出现的问题,在实践中深化认识.明确界定
The methoxycarbonylations of cyclohexene and 1-decene with CO2 can take place under ambient conditions by catalysis of [Co]([Co]=Co(acac)2, Co(OAc)2, CoCl2 ) in
AIM To investigate the effect of cold preservation on rat livers by modified storage method with self-madeHYD solution.METHODS The modified method was that the
诉讼权利平等是我国民事诉讼法中确立的一项基本原则。然而,在我国现行的民事诉讼法律中,仍然存在着一些双方当事人之间权利不平等的现象。本文笔者站在被告的立场上,以民事
4-Methoxyacetophenone(4-MAP) was synthesized by the acylation of anisole with acetic anhydride in the presence of HY zeolite.The addition of an appropriate amou
司法会计鉴定,是指司法机关为了查明案情,依法指派或聘请具有司法会计专门知识的人员,依据司法会计技术标准,通过检验财务会计资料,对案件中的财务会计问题进行技术鉴定的一
本文通过对中国高校法律援助与美国诊所式教育的目标、基础的比较,指出高校的课程改革和高校与法律服务机构的合作是让中国高校法律援助摆脱目前仅作为学生社会实践的一种方
利用双毛细管法测定了液氮沸点温度下液氮的表面张力。用非线性方程γ=γ0(1-T/TC)n描述了液态N2、O2、Ar、Xe、H2、Ne、He、F2和Kr的表面张力与温度的关系,并采用一元线性回
邓小平关于学习观的理论与实践是马克思主义党建理论的创新和发展,对指导我们今天的学习型政党建设具有重大而积极的意义。建设马克思主义学习型政党要求共产党、共产党人、