AN OPTIMAL-CONTROL PROBLEM WITH A RANDOM STOPPING TIME

被引：41

作者：

BOUKAS, EK

HAURIE, A

MICHEL, P

机构：

[1] ECOLE POLYTECH, GERAD, MONTREAL H3C 3A7, QUEBEC, CANADA

[2] UNIV GENEVA, CH-1211 GENEVA 4, SWITZERLAND

[3] ECOLE HAUTES ETUD COMMERCIALES, GERAD, MONTREAL, QUEBEC, CANADA

[4] UNIV PARIS 01, F-75231 PARIS 05, FRANCE

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 1990年 / 64卷 / 03期

关键词：

infinite-horizon optimal control; minimum principle; Stochastic control;

D O I：

10.1007/BF00939419

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper deals with a stochastic optimal control problem where the randomness is essentially concentrated in the stopping time terminating the process. If the stopping time is characterized by an intensity depending on the state and control variables, one can reformulate the problem equivalently as an infinite-horizon optimal control problem. Applying dynamic programming and minimum principle techniques to this associated deterministic control problem yields specific optimality conditions for the original stochastic control problem. It is also possible to characterize extremal steady states. The model is illustrated by an example related to the economics of technological innovation. © 1990 Plenum Publishing Corporation.

引用

页码：471 / 480

页数：10

共 11 条

[1] EXISTENCE THEOREMS FOR LAGRANGE CONTROL PROBLEMS WITH UNBOUNDED TIME DOMAIN [J].