Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
复制标题
无限时间范围内随机系数约束随机LQ最优控制问题
DOI：
10.1007/s00245-019-09576-z
复制
发表时间：
2021
影响因子：
1.8
通讯作者：
Zhang Qi
中科院分区：
文献类型：
--
作者：
Pu Jiangyan;Zhang Qi
本文研究了无限时间水平上具有随机系数的控制约束随机LQ最优控制问题。为此，引入两个广义的无限时域随机Riccati方程，给出了显式的最优控制和最优费用。最后，以养老保险基金的控制问题为例说明了本文研究的应用。
In this paper we study a control-constrained stochastic LQ optimal control problem with random coefficients on the infinite time horizon. For this, two generalized infinite time horizon stochastic Riccati equations are introduced to give the explicit optimal control and optimal cost. Finally, the control problem of pension fund with DB scheme is presented to demonstrate the application of our study as an example.