Some Solvable Stochastic Control Problems With Delay
Some Solvable Stochastic Control Problems With Delay
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DOI：
10.1080/17442500008834259
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发表时间：
2000-12
期刊：
影响因子：
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通讯作者：
Ismail Elsanosi;B. Øksendal;A. Sulem
中科院分区：
文献类型：
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作者：
Ismail Elsanosi;B. Øksendal;A. Sulem
我们考虑由随机时滞微分方程描述的系统的最优收获问题。我们主要研究收获问题的值函数依赖于过程的初始路径的情况，即通过它在0处的值，并通过一些加权平均，证明了一个变分不等式型的验证定理。将其应用于显式求解几类最优收获延迟问题
We consider optimal harvesting of systems described by stochastic differential equations with delay. We focus on those situations where the value function of the harvesting problem depends on the initial path of the process in a simple way, namely through its value at 0 and through some weighted averages A verification theorem of variational inequality type is proved. This is applied to solve explicitly some classes of optimal harvesting delay problems