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Stochastic impulse control Problem with state and time dependent cost functions
Mathematical Control and Related Fields ( IF 1.0 ) Pub Date : 2020-03-22 , DOI: 10.3934/mcrf.2020022
Brahim El Asri , , Sehail Mazid ,

We consider stochastic impulse control problems when the impulses cost functions depend on $ t $ and $ x $. We use the approximation scheme and viscosity solutions approach to show that the value function is a unique viscosity solution for the associated Hamilton-Jacobi-Bellman equation (HJB) partial differential equation (PDE) of stochastic impulse control problems.

中文翻译:

状态和时间相关的成本函数的随机脉冲控制问题

当脉冲成本函数取决于$ t $和$ x $时,我们考虑随机脉冲控制问题。我们使用逼近方案和粘度解方法来表明,对于随机脉冲控制问题的相关汉密尔顿-雅各比-贝尔曼方程(HJB)偏微分方程(PDE),值函数是唯一的粘度解。
更新日期:2020-03-22
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