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

作     者：LIUKunhui QINMingda LUChuanlai LIU Kunhui (College of Science, Northern Jiaotong University, Beijing 100044, China)QIN Mingda(Department of Mathematics & Mechanics, Beijing University of Science and Technology,Beijing 100083, China)LU Chuanlai(Department of Information Engineering, Beijing University of Posts & Telecom,Beijing 100876, China)

作者机构：CollegeofScienceNorthernJiaotongUniversityBeijing100044China DepartmentofMathematics&MechanicsBeij:mgUniversityofScienceandTechnologyBeijing100083China DepartmentofInformationEngineeringBeijingUniversityofPosts&TelecomBeijing100876China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2003年第16卷第4期

页      面：424-437页

核心收录：

学科分类：0711[理学-系统科学] 07[理学] 08[工学] 070105[理学-运筹学与控制论] 081101[工学-控制理论与控制工程] 0811[工学-控制科学与工程] 071101[理学-系统理论] 0701[理学-数学] 071102[理学-系统分析与集成] 081103[工学-系统工程] 

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

主　　题：singular stochastic control discounted model stochastic differentialequation nonlinear diffusion variational inequality 

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.