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題名 | Kolmogorov Equations Driven by Cylindrical Stable Processes and Applications to Stochastic Optimal Control=柱型穩定過程所導出之半線性Kolmogorov方程式及其在隨機最佳化控制的應用 |
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作者姓名(中文) | 蘇國樑; | 書刊名 | 中國統計學報 |
卷期 | 52:3 2014.09[民103.09] |
頁次 | 頁335-362 |
分類號 | 319.5 |
關鍵詞 | Kolmogorov方程式; 隨機最佳化控制; 柱型α-穩定過程; Hamilton-Jacobi-Bellman 方程式; Kolmogorov equation; Stochastic optimal control; Cylindrical α-stable process; Hamilton-jacobi-bellman equation; |
語文 | 英文(English) |
中文摘要 | 本文解出柱型α-穩定過程所導出之半線性 Kolmogorov方程式在無限維 Hilbert空間上的溫和解;其次,解出最佳化控制問題所相關之 HamiltonJacobi-Bellman方程式的解;然後 ,說明在隨機控制熱傳導方程式和波動方程式上的最佳化應用。 |
英文摘要 | A mild solution of semilinear Kolmogorov equations driven by a cylindrical α-stable noise is solved in an infinite dimensional Hilbert space. The associated HamiltonJacobi-Bellman equation is also studied and solved for applications to the stochastic optimal control problems. It then shows applications to the controlled stochastic heat equation and wave equation. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。