THE OPTIMAL-CONTROL OF DIFFUSIONS

被引:19
|
作者
ELLIOTT, RJ
机构
[1] Department of Statistics and Applied Probability, University of Alberta, Edmonton, T6G 2G1, Alberta
来源
APPLIED MATHEMATICS AND OPTIMIZATION | 1990年 / 22卷 / 03期
关键词
D O I
10.1007/BF01447329
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Using a differentiation result of Blagovescenskii and Freidlin calculations of Bensoussan are simplified and the adjoint process identified in a stochastic control problem in which the control enters both the drift and diffusion coefficients. A martingale representation result of Elliott and Kohlmann is then used to obtain the integrand in a stochastic integral, and explicit forward and backward equations satisfied by the adjoint process are derived. © 1990 Springer-Verlag New York Inc.
引用
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页码:229 / 240
页数:12
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