Reflecting backward Stochastic differential equations with jumps in infinite horizon and optimal Stochastic control

被引：0

作者：

Rong Situ ^{[1
]}

机构：

[1] Dept Math, Guangzhou 510275, Guangdong, Peoples R China

来源：

Proceedings of the 24th Chinese Control Conference, Vols 1 and 2 | 2005年

关键词：

reflecting backward stochastic differential equations; optimal Stochastic control;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper we obtain the existence and uniqueness of solutions to Reflecting Backward Stochastic Differential Equations (RBSDE) with jumps in infinite horizon and with non-Lipschitzian coefficients. Then the results are applied to get the existence of an non-Lipschitzian optimal stochastic control for an energy functional subject to such system in the infinite horison.

引用

页码：387 / 390

页数：4

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