journal6 ›› 2013, Vol. 34 ›› Issue (2): 5-11.DOI: 10.3969/j.issn.1007-2985.2013.02.002

• Mathematics • Previous Articles     Next Articles

Near-Optimality in Stochastic Control of Stochastic Age-Dependent System with Markovian Switching and Fractional Brownian Motion


  1. (School of Mathematics and Computer Science,Ningxia University,Yinchuan 750021,China)
  • Online:2013-03-25 Published:2013-04-23

Abstract: A class of stochastic age-dependent system with Marvokian switching and fractional Brownian motion is introduced,and the necessary conditions for near-optimality are established.The conditions are described by an adjoint process and a nearly maximum condition on the Hamiltonian.The proof of the main results is based on Ito formula,Ekeland’s variational principle and some estimates on the state and the adjoint process with respect to the control variable.

Key words: stochastic age-dependent system, fractional Brownian motion, markovian switching, near-optimal, ekeland&rsquo, s variational principle

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