论文标题
关于泊松观测下的随机控制：一般Lévy模型中屏障策略的最佳性
On stochastic control under Poisson observations: optimality of a barrier strategy in a general Lévy model
论文作者
论文摘要
我们研究了最小化运行和控制成本总和的随机控制问题的版本，其中控制机会仅限于独立的泊松到达时间。在由一般莱维过程驱动的一般环境下，我们显示了周期性屏障策略的最佳性，每当观察到它在其下方时，该过程将过程向上移至障碍物。还显示了最佳溶液与连续观察情况下的最佳溶液的收敛性。
We study a version of the stochastic control problem of minimizing the sum of running and controlling costs, where control opportunities are restricted to independent Poisson arrival times. Under a general setting driven by a general Lévy process, we show the optimality of a periodic barrier strategy, which moves the process upward to the barrier whenever it is observed to be below it. The convergence of the optimal solutions to those in the continuous-observation case is also shown.
