Dynamic programming for multidimensional stochastic control problems

被引：10
|
作者：
Ma, J [1 ]
Yong, J
机构：
[1] Purdue Univ, Dept Math, W Lafayette, IN 47907 USA
[2] Fudan Univ, Dept Math, Lab Math Nonlinear Sci, Shanghai 200433, Peoples R China
[3] Fudan Univ, Inst Math Finance, Shanghai 200433, Peoples R China
来源：
ACTA MATHEMATICA SINICA-ENGLISH SERIES | 1999年 / 15卷 / 04期
基金：
中国国家自然科学基金;
关键词：
stochastic control; dynamic programming; viscosity solutions; singular control; impulse control;
D O I：
10.1007/s10114-999-0081-5
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we study a general multidimensional diffusion-type stochastic control problem. Our model contains the usual regular control problem, singular control problem and impulse control problem as special cases. Using a unified treatment of dynamic programming, we show that the value function of the problem is a viscosity solution of certain Hamilton-Jacobi-Bellman (HJB) quasivariational inequality. The uniqueness of such a quasi-variational inequality is proved.
引用
收藏
页码：485 / 506
页数：22
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