完全耦合的正倒向随机微分方程系统在非Lipschitz代价泛函下最优控制的存在性
he Existence of Optimal Control for Fully Coupled Forward-Backward Stochastic Differential Equation System with Non-Lipschitz Cost Functional
运用凸分析中的最优存在定理,本文研究了最优随机控制的存在性。而所研究的随机系统是完全耦合的线性正倒向随机微分方程,且其代价泛函是非Lipschitz的函数。一些典型的模型,例如LQ问题,可以包含在本文所研究的随机系统的框架内。
In this paper, we study the existence of stochastic optimal control by a new application of the existence theorem of convex optimality. The stochastic system in our concern is a linear fully coupled forward-backward stochastic differential equation with a non-Lipschitz cost functional. Some typical examples, such as LQ problem, can be included in this studied stochastic system.
张奇、孟庆欣
数学
变分方法和最优控制最优控制存在性正倒向随机微分方程非Lipschitz代价泛函线性二次最优控制问题
calculus of variations and optimal controlexistence of optimal controlforward-backwardstochastic differential equationsnon-Lipschitz cost functionallinear-quadratic problem
张奇,孟庆欣.完全耦合的正倒向随机微分方程系统在非Lipschitz代价泛函下最优控制的存在性[EB/OL].(2012-12-25)[2025-08-16].http://www.paper.edu.cn/releasepaper/content/201212-778.点此复制
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