摘要:

We consider a stochastic control problem for a random evolution. We study the Bellman equation of the problem and we prove the existence of an optimal stochastic control which is Markovian. This problem enables us to approximate the general problem of the optimal control of solutions of stochastic differential equations.

ISSN:0090-9491    

DOI:10.1080/17442508108833180

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

摘要:

In this paper we deal with the existence of a nonanticipative stochastic process M, solution of the stochastic parabolic variational inequalityfor allvandmin some fixed spaces of stochastic processes (mandMare martingales). If ϕ is a convex indicator function, we obtain a “maximal solution”.

ISSN:0090-9491    

DOI:10.1080/17442508108833181

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

摘要:

The eq.is considered, with (ztbeing a stationary process inandThe existence of solutions (*) to such that (xt,zt) is stationary is investigated. Strong and weak stationary solutions are considered. it is shown that if weak stationary solutions exist so do strong stationary solutions, the necessary and sufficient condition for existence being the a.s. Caesaro convergence asto a rendom processL(u),such thatL(u) is a.s. a characteristic function.

ISSN:0090-9491    

DOI:10.1080/17442508108833182

出版商:Gordon and Breach Science Publishers, Inc    

年代:1981

数据来源: Taylor

ISSN:0090-9491    

DOI:10.1080/1744258108833179

出版商:Gordon and Breach Science Publishers S. A.    

年代:1981

数据来源: Taylor