论文标题
线性扩散的双面泊松控制
Two-sided Poisson control of linear diffusions
论文作者
论文摘要
我们研究了所谓的泊松约束下的一类两侧最佳控制问题的一类最佳控制问题：仅在独立的泊松信号过程的到达时间才允许控制。我们给出了一组弱且易于验证的足够条件集，在该条件下，我们根据扩散的最小R型映射为问题提供了准阐明的独特解决方案。我们还研究了溶液在泊松过程的信号强度方面的限制特性。最后，我们用一个明确的例子说明了结果。
We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and easily verifiable set of sufficient conditions under which we derive a quasi-explicit unique solution to the problem in terms of the minimal r-excessive mappings of the diffusion. We also investigate limiting properties of the solutions with respect to the signal intensity of the Poisson process. Lastly, we illustrate our results with an explicit example.
