New approach to stochastic optimal control

被引：8

作者：

Josa-Fombellida, R.

Rincon-Zapatero, J. P. ^{[1
]}

机构：

[1] Univ Carlos III Madrid, Dept Econ, Madrid, Spain

[2] Univ Valladolid, Dept Estadist & Invest Operat, Valladolid, Spain

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2007年 / 135卷 / 01期

关键词：

optimal stochastic control; Ito's formula; Hamilton-Jacobi-Bellman equation; semilinear parabolic equation;

D O I：

10.1007/s10957-007-9262-5

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 provides new insights into the solution of optimal stochastic control problems by means of a system of partial differential equations, which characterize directly the optimal control. This new system is obtained by the application of the stochastic maximum principle at every initial condition, assuming that the optimal controls are smooth enough. The type of problems considered are those where the diffusion coefficient is independent of the control variables, which are supposed to be interior to the control region.

引用

页码：163 / 177

页数：15

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