Brown运动驱动的随机Riccati微分方程  

Stochastic Riccati differential equation driven by a Brownian motion

作　　者：汤善健[1] 严佳伟 TANG Shanjian;YAN Jiawei(School of Mathematical Sciences,Fudan University,Shanghai 200433,China)

机构地区：[1]复旦大学数学科学学院,上海200433

出　　处：《应用数学与计算数学学报》2018年第2期256-266,共11页Communication on Applied Mathematics and Computation

基　　金：国家自然科学基金资助项目(11631004);上海市科学技术委员会优秀学术带头人基金资助项目(14XD1400400)

摘　　要：研究Brown运动驱动的正向随机Riccati微分方程.在适当的条件下证明了它具有唯一的强解,并得到了解的一些性质.线性二次随机最优控制问题中引出的Riccati常微分方程是该随机Riccati微分方程的特殊情形.The forward stochastic Riccati differential equation driven by a Brownian motion is considered. We prove that under proper conditions, this equation admits a unique strong solution. We also derive several properties of the solution.A special case of this equation is the Riccati differential equation, which arises in the solution of linear quadratic stochastic optimal control.

关 键 词：RICCATI方程 BROWN运动 随机最优控制 

分 类 号：O211.63[理学—概率论与数理统计]