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arXiv 0912.0185math.OC
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线性扩散方程解的随机变分公式

Stochastic Variational formulas for solutions to linear diffusion equations

Joseph G. Conlon, Mohar Guha

摘要:

本文研究一维线性扩散方程的解及其与随机控制理论中某些问题的关系。得到了扩散方程解的对数的一个随机变分公式,其终端数据是一个集合的特征函数。在这种情况下,控制问题的终端数据是奇异的,因此标准理论不适用。变分公式被用来证明收敛在零噪声极限的费用函数的随机控制问题及其一阶导数,为一个经典的控制问题的相应数量。

英文摘要:

This paper is concerned with solutions to a one dimensional linear diffusion equation and their relation to some problems in stochastic control theory. A stochastic variational formula is obtained for the logarithm of the solution to the diffusion equation, with terminal data which is the characteristic function of a set. In this case the terminal data for the control problem is singular, and hence standard theory does not apply. The variational formula is used to prove convergence in the zero noise limit of the cost function for the stochastic control problem and its first derivatives, to the corresponding quantities for a classical control problem.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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