Acta mathematica scientia,Series B ›› 2004, Vol. 24 ›› Issue (1): 139-150.

• Articles • Previous Articles     Next Articles

A CLASS OF STATIONARY MODELS OF SINGULAR STOCHASTIC CONTROL

 LIU Kun-Hui, QIN Meng-Da, LIU Chuan-Lai   

  • Online:2004-07-13 Published:2004-07-13
  • Supported by:

    . Supported by the National Science Foundation of China.

Abstract:

A class of stationary models of singular stochastic control has been studied,
in which the state is extended to solution of a class of S.D.E. from Wiener process. The
existence of optimal control has been proved in all cases under some weaker conditions,
and the structure of optimal control may be characterized.

Key words: Singular stochastic control, stationary model;stochastic differential equa- tion;variational equation system

CLC Number: 

  • 93E20
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