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检索条件"主题词=DYNAMIC PROGRAMMING PRINCIPLE"
226 条 记 录,以下是101-110 订阅
排序:
STOCHASTIC OPTIMAL CONTROL PROBLEM WITH INFINITE HORIZON DRIVEN BY G-BROWNIAN MOTION
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ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS 2018年 第2期24卷 873-899页
作者: Hu, Mingshang Wang, Falei Shandong Univ Zhongtai Secur Inst Financial Studies Jinan 250100 Shandong Peoples R China Shandong Univ Inst Adv Res Jinan 250100 Shandong Peoples R China
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we st... 详细信息
来源: 评论
OPTIMAL INVENTORY CONTROL WITH JUMP DIFFUSION AND NONLINEAR dynamicS IN THE DEMAND
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SIAM JOURNAL ON CONTROL AND OPTIMIZATION 2018年 第1期56卷 53-74页
作者: Liu, Jingzhen Yiu, Ka Fai Cedric Bensoussan, Alain Cent Univ Finance & Econ Sch Insurance Beijing 100081 Peoples R China Hong Kong Polytech Univ Dept Appl Math Kowloon Hong Kong Peoples R China City Univ Hong Kong Dept Syst Engn & Engn Management Kowloon Hong Kong Peoples R China Univ Texas Dallas Jindal Sch Management Dallas TX 75083 USA
In this paper, we consider an inventory control problem with a nonlinear evolution and a jump-diffusion demand model. This work extends the earlier inventory model proposed by Benkherouf and Johnson [Math. Methods Ope... 详细信息
来源: 评论
Stochastic differential games with competing Brownian particles and related Isaacs' equations
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OPTIMAL CONTROL APPLICATIONS & METHODS 2018年 第2期39卷 519-536页
作者: Feng, Xinwei Shandong Univ Sch Math Jinan 250100 Shandong Peoples R China
In this paper, we study zero-sum two-player stochastic differential games in which the state equations are competing Brownian particles and the cost functional is defined by generalized backward stochastic differentia... 详细信息
来源: 评论
Singular Linear Quadratic Optimal Control Problem for Stochastic Nonregular Descriptor Systems
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ASIAN JOURNAL OF CONTROL 2018年 第5期20卷 1782-1792页
作者: Wang, Xin Liu, Bin Huazhong Univ Sci & Technol Sch Math & Stat Wuhan 430074 Hubei Peoples R China
This paper is concerned with the singular linear quadratic (SLQ) optimal control problem for stochastic nonregular descriptor systems with time-delay. By means of some reasonable assumptions and a series of equivalent... 详细信息
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Optimal bounded parametric control for random vibration of dielectric elastomer balloon
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NONLINEAR dynamicS 2018年 第2期94卷 1081-1093页
作者: Jin, Xiaoling Tian, Yanping Wang, Yong Huang, Zhilong Zhejiang Univ Key Lab Soft Machines & Smart Devices Zhejiang Pr Dept Engn Mech Hangzhou Zhejiang Peoples R China Hangzhou Dianzi Univ Coll Mech Engn Hangzhou Zhejiang Peoples R China
As a functional device, dielectric elastomer balloon with surface electrodes operates under impressed pressure and voltage. The unavoidable pressure disturbance will induce prominent vibration around the equilibrium p... 详细信息
来源: 评论
Stochastic Maximum principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance
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Chinese Annals of Mathematics,Series B 2018年 第5期39卷 773-790页
作者: Siyu LV Zhen WU School of Mathematics Southeast UniversityNanjing 211189China School of Mathematics Shandong UniversityJinan 250100China
The authors prove a sufficient stochastic maximum principle for the optimal control of a forward-backward Markov regime switching jump diffusion system and show its connection to dynamic programming principle. The res... 详细信息
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Regularity properties in a state-constrained expected utility maximization problem
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MATHEMATICAL METHODS OF OPERATIONS RESEARCH 2018年 第2期88卷 185-240页
作者: Lazgham, Mourad Univ Mannheim Dept Math Mannheim Germany
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the... 详细信息
来源: 评论
Regularity for nonlinear stochastic games
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ANNALES DE L INSTITUT HENRI POINCARE-ANALYSE NON LINEAIRE 2018年 第6期35卷 1435-1456页
作者: Luiro, Hannes Parviainen, Mikko Univ Jyvaskyla Dept Math & Stat POB 35 FI-40014 Jyvaskyla Finland
We establish regularity for functions satisfying a dynamic programming equation, which may arise for example from stochastic games or discretization schemes. Our results can also be utilized in obtaining regularity an... 详细信息
来源: 评论
Approximation of optimal ergodic dividend strategies using controlled Markov chains
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IET CONTROL THEORY AND APPLICATIONS 2018年 第16期12卷 2194-2204页
作者: Jin, Zhuo Yang, Hailiang Yin, George Univ Melbourne Dept Econ Ctr Actuarial Studies Melbourne Vic 3010 Australia Univ Hong Kong Dept Stat & Actuarial Sci Hong Kong Hong Kong Peoples R China Wayne State Univ Dept Math Detroit MI 48202 USA
This study develops a numerical method to find optimal ergodic (long-run average) dividend strategies in a regime-switching model. The surplus process is modelled by a regime-switching process subject to liability con... 详细信息
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Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae
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APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 2018年 第3期34卷 338-354页
作者: Yoshioka, Hidekazu Yaegashi, Yuta Shimane Univ Fac Life & Environm Sci Matsue Shimane 6908504 Japan Kyoto Univ Grad Sch Agr Kyoto Japan Japan Soc Promot Sci Kyoto Japan
The mathematical concept of multiplier robust control is applied to a dam operation problem, which is an urgent issue on river water environment, as a new industrial application of stochastic optimal control. The goal... 详细信息
来源: 评论