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

页码：229 / 240

页数：12

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