%0 Journal Article
%T Problems of singular stochastic control with stopping, drift and diffusion<br>一类具有漂移、扩散及停时的奇异型随机控制
%A YU Yang
%A WANG Qiu-yuan
%A ZHAO Sheng-bian
%A <br>于洋
%A 王秋媛
%A 赵生变
%J 控制理论与应用
%D 2010
%I 
%X Based on the stochastic calculus and the classical theory of optimal control, this paper generalizes a class of the discounted model of singular stochastic control with stopping time. Drift and diffusion coefficients are introduced into the controlled states to make them the solution of a stochastic differential equation. Meanwhile, the cost function is also generalized. By solving a variational equation, we prove the existence of the optimal control and the optimal stopping time. Moreover, we derive the explicit form for the optimal cost function.
%K stochastic control
%K stopping time
%K singular control
%K drift
%K diffusion<br>随机控制
%K 停时
%K 奇异型控制
%K 漂移
%K 扩散
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=5B3AB970F71A803DEACDC0559115BFCF0A068CD97DD29835&cid=8240383F08CE46C8B05036380D75B607&jid=970898A57DFC021F93AB51667BAED7F7&aid=A96DF34B2336B509226793D393ED1015&yid=140ECF96957D60B2&vid=DB817633AA4F79B9&iid=E158A972A605785F&sid=6D6BFCF0101BC091&eid=08076B8B3CC96095&journal_id=1000-8152&journal_name=控制理论与应用&referenced_num=0&reference_num=12