Title :
Stochastic control problem of impulse type with drift factor
Author :
Sun, Shiliang ; Wu, Qingyu
Author_Institution :
Sch. of Math. Sci., JiangSu Normal Univ., Xuzhou, China
Abstract :
In this paper we consider a class of stationary problem of stochastic control of impulse type, of which the state process is a solution to a process generated by a stochastic differential equation with drift factor. We also prove the existence of optimal impulse control. Moreover, we construct an optimal control and determine the optimal control area.
Keywords :
differential equations; optimal control; stochastic processes; stochastic systems; drift factor; impulse type; optimal impulse control; state process; stationary problem; stochastic control problem; stochastic differential equation; Differential equations; Educational institutions; Equations; Mathematical model; Optimal control; Process control; Stochastic processes;
Conference_Titel :
Systems and Informatics (ICSAI), 2012 International Conference on
Conference_Location :
Yantai
Print_ISBN :
978-1-4673-0198-5
DOI :
10.1109/ICSAI.2012.6223617
