带有Fractional Brownian Motion和Markovian调制的随机资产积累的最优逼近控制  

Best Approximation of Control of Stochastic Asset Accumulation System with Fractional Brownian Motion and Markov Process

作　　者：崔世崇 

机构地区：[1]长春工业大学基础科学学院,吉林长春130012

出　　处：《成都大学学报（自然科学版）》2015年第4期357-363,共7页Journal of Chengdu University（Natural Science Edition）

摘　　要：给出了一类带有分数布朗运动(Fractional Brownian Motion,FBM)和马尔科夫过程(Markov Process,MP)的随机资产积累模型,讨论了该系统的最优逼近控制存在的问题,得到了相应的伴随方程哈密顿函数.应用Ekeland变分原理、Ito's公式及常用不等式证明了这类带有随机的资产积累系统的最优逼近控制存在的必要条件.The paper discusses the problems in best approximation control in the system which is presented by a kind of stochastic asset accumulation model with Fractional Brownian Motion（ FBM） and Marvokian process. Then adjoint equation and Hamiltonian function are obtained. In addition,Ekeland variational principle,Ito＇s formula and inequalities are used to prove the necessary conditions for the existence of the best approximation control of stochastic asset accumulation system.

关 键 词：FRACTIONAL BROWNIAN Motion MARKOV Process 最优逼近控制 最大值原理 Ekeland变分 Ito's公式 

分 类 号：O211.63[理学—概率论与数理统计] O232[理学—数学]