ON SUFFICIENT AND NECESSARY OF EXISTENCE FOR A CLASS OF SINGULAR OPTIMAL STOCHASTIC CONTROL  

作　　者：LIUKunhui QINMingda LUChuanlai 

机构地区：[1]CollegeofScience,NorthernJiaotongUniversity,Beijing100044,China [2]DepartmentofMathematics&Mechanics,Beij:mgUniversityofScienceandTechnology,Beijing100083,China [3]DepartmentofInformationEngineering,BeijingUniversityofPosts&Telecom,Beijing100876,China

出　　处：《Journal of Systems Science & Complexity》2003年第4期424-437,共14页系统科学与复杂性学报（英文版）

基　　金：This research is supported by the National Natural Science Foundation of China

摘　　要：We study a class of discounted models of singular stochastic control. In thiskind of models, not only the structure of cost function has been extended to some general type, butalso the state can be represented as the solution of a class of stochastic differential equationswith nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derivethe sufficient and necessary conditions of the existence of optimal control.

关 键 词：singular stochastic control discounted model stochastic differentialequation nonlinear diffusion variational inequality 

分 类 号：TP13[自动化与计算机技术—控制理论与控制工程] O231.3[自动化与计算机技术—控制科学与工程]