风险敏感性平均场控制的一个二阶必要条件
A Second-Order Necessary Condition for Risk-Sensitive Mean-Field Type Control
郝涛1
作者信息
- 1. 山东财经大学统计与数学学院,济南,250014
- 折叠
摘要
本文研究风险敏感性平均场控制的一个二阶必要条件.介绍了一类新的分裂形式的一阶伴随方程,这类方程在分析二阶伴随变量转换时更具有优势.通过构造一类新的二阶伴随变量的转换,证明风险敏感性平均场奇异控制的二阶最大值原理.最后,我们提供了一个解释性例子.
Abstract
In this paper,we investigate the second-order necessary condition for risk-sensitive mean-field type control.A class of new split first-order adjoint equations is brought in,which demonstrates more superiorities in analysing the transformation of the second-order adjoint variables.By means of constructing a new transformation of the second-order adjoint variables,the second-order stochastic maximum principle of risk-sensitive mean-field type singular control is proved.Finally,an illustrative example is provided.
关键词
奇异最优控制/分裂形式的一阶伴随方程/二阶伴随方程/二阶最大值原理/风险敏感性Key words
singular optimal control/split first-order adjoint equation/second-order adjoint equation/second-order stochastic maximum principle/risk-sensitive引用本文复制引用
基金项目
Natural Science Foundation of Shandong Province(ZR2020MA032)
Natural Science Foundation of Shandong Province(ZR2022MA029)
National Natural Science Foundation of China(72171133)
highquality course for postgraduate education in Shandong Province(SDYKC21137)
出版年
2024
NETL
NSTL
万方数据