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J4 ›› 2010, Vol. 45 ›› Issue (4): 16-20.

• 论文 • 上一篇    下一篇

超前BSDE中Z的性质及其在时滞随机控制中的应用

陈丽   

  1. 山东大学数学院,山东  济南   250100
  • 收稿日期:2009-10-09 出版日期:2010-04-10 发布日期:2010-05-19
  • 作者简介:陈丽(1982-),女,博士研究生,主要从事倒向随机微分方程,随机控制,金融数学的研究.Email:chenli8282@sina.com
  • 基金资助:

    国家自然科学基金资助项目(10671112);山东省自然科学基金资助项目(JQ200801)

Properties on Z for anticipated BSDE and application  in stochastic  control with delay

 CHEN Li   

  1. School of Mathematics,  Shandong University, Jinan 250100, Shandong, China
  • Received:2009-10-09 Online:2010-04-10 Published:2010-05-19

摘要:

研究了超前倒向随机微分方程的解中关于 Z 的性质,给出了使得 Z 有界的充分条件。并将其应用到时滞随机控制系统中,得到一类时滞最优控制的显示解。

关键词: 超前倒向随机微分方程;Malliavin 积分;时滞随机最优控制

Abstract:

The properties in respect to Z, the second part solution process of a new type anticipated backward stochastic differential equations (anticipated BSDE)  are studied. One sufficient condition is  given under which Z is bounded. We apply our result in finding the explicit form of optimal control in the stochastic control problem with delay.
 

Key words: anticipated backward stochastic differential equation; Malliavin calculus; stochastic optimal control with delay

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