A matrix representation of fields and filtrations and its application to stochastic control problems
A matrix representation of fields and filtrations and its application to stochastic control problems
复制标题
场和过滤的矩阵表示及其在随机控制问题中的应用
DOI：
10.1080/02522667.1997.10699315
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发表时间：
1997
影响因子：
1.4
通讯作者：
Teruo Tanaka
中科院分区：
文献类型：
--
作者：
Teruo Tanaka
本文讨论一般离散时间随机过程的控制问题，如带控制变量的单参数最优停止问题、Dynkin对策和双参数最优停止问题。我们还表明，解决这些问题是等价于解决数学规划问题的矩阵表示的字段和过滤。
Abstract In this paper, we treat control problems for general discrete time stochastic processes, for example, one-parameter optimal stopping problems with control variables, Dynkin games and two-parameter optimal stopping problems. We also show that solving those problems is equivalent to solving mathematical programming problems by means of the matrix representation of fields and filtrations.