کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099613 | 1377019 | 2007 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from Poisson processes. Optimal behavior (e.g., optimal consumption) is usually determined by employing the Hamilton-Jacobi-Bellman equation. This requires strong assumptions on the model, such as a bounded utility function and bounded coefficients in the controlled differential equation. The present paper relaxes these assumptions. We show that one can still use the Hamilton-Jacobi-Bellman equation as a necessary criterion for optimality if the utility function and the coefficients are linearly bounded. We also derive sufficiency in a verification theorem without imposing any boundedness condition at all. It is finally shown that, under very mild assumptions, an optimal Markov control is optimal even within the class of general controls.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 4, April 2007, Pages 1106-1131
Journal: Journal of Economic Dynamics and Control - Volume 31, Issue 4, April 2007, Pages 1106-1131
نویسندگان
Ken Sennewald,