论文标题
最佳控制扩散过程具有法律终端约束
Optimal Control of Diffusion Processes with Terminal Constraint in Law
论文作者
论文摘要
考虑到最终输出概率分布的随机最佳控制问题。使用凸双重性技术证明了以涉及前向fokker-planck方程和向后的汉密尔顿 - 雅各布 - 贝尔曼方程的偏微分方程的耦合系统形式的最佳条件。
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation are proved using convex duality techniques.
