论文标题
对部分观察到的前向后随机系统的最佳最佳控制的最大原理，无限地台上跳跃
The Maximum Principle for Discounted Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Jumps on Infinite Horizon
论文作者
论文摘要
本文涉及一个折扣的最佳控制问题，即部分观察到的前回向后的随机系统，无限的地平线上跳跃。控制域是凸，并引入了一种无限的视野观测方程。获得了跳跃的无限视野前（向后）随机微分方程的独特可溶性，并进行了更扩展的分析，尤其是对于向后的情况。首先给出一些新的估计值，并证明了严重的变分不平等。然后，通过引入某些无限的地平线伴随方程，其独特的溶剂可保证必要的溶解性，可以获得奇异的最大原理。最后，与两种代表性无限的地平线随机系统及其相关的最佳控制进行了比较。
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is convex and a kind of infinite horizon observation equation is introduced. The uniquely solvability of infinite horizon forward (backward) stochastic differential equation with jumps is obtained and more extended analysis, especially for the backward case, is made. Some new estimates are first given and proved for the critical variational inequality. Then an ergodic maximum principle is obtained by introducing some infinite horizon adjoint equations whose uniquely solvabilities are guaranteed necessarily. Finally, some comparison are made with two kinds of representative infinite horizon stochastic systems and their related optimal controls.
