Relationship Between MP and DPP for the Stochastic Optimal Control Problem of Jump Diffusions
β Scribed by Jing-Tao Shi; Zhen Wu
- Publisher
- Springer
- Year
- 2010
- Tongue
- English
- Weight
- 771 KB
- Volume
- 63
- Category
- Article
- ISSN
- 0095-4616
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
ABBTRACT : An examination of 8om8 of the properties of ident$ica&n as it applies to adaptive control system is made bg means of a study of a simple linear q@43m. In particular, attention is focused on the nuznner in which the performance criti effects the learning procedure oj the controllet.
Let a decision policy ~r correspond to a twodimensional stochastic process {tzlr(t), Lt'}, with 0 < tx~(t) \_< 1 where 1-tx,( 0 denotes the fraction of the incoming claims at time t that is reinsured and L," denotes the total payout of dividend up to time t. When applying policy ~-the reserve of the