一类“跳—停”奇异型随机控制  

A Class of "Fail-Stop" Singular Stochastic Control Problem

作　　者：杨海波[1] 刘坤会[1] 

机构地区：[1]北方交通大学理学院,北京100044

出　　处：《北方交通大学学报》2002年第3期102-105,共4页Journal of Northern Jiaotong University

摘　　要：对一类带停时的奇异型随机控制问题进行了研究 ,在某些条件下 ,“跳—停”策略是其最优控制策略 .给出“跳—停”策略存在的条件并且给出了其控制方法 。This paper discusses a class of stochastic control problem with discretionary stopping. We will see that under some conditions the "fail_stop" control strategy is its optimal control. Here we give the condition that "fail_stop" control strategy exists and its control method. The conclusion in this paper has a fairly deep application.

关 键 词：随机控制 停时 奇异型 “跳-停”控制策略 

分 类 号：O211.6[理学—概率论与数理统计]