帶時(shí)滯正倒向隨機(jī)控制系統(tǒng)的最大值原理.pdf

1、V771417飯旦大學(xué)學(xué)校代碼學(xué)號(hào)碩士學(xué)位論文10246012018060帶時(shí)滯正倒向隨機(jī)控制系統(tǒng)的最大值原理院系(所)：數(shù)堂壓專姓業(yè)：運(yùn)簽堂皇控劍i金名：星曉齷指導(dǎo)教師：壅蛔斂教援完成日期：2QQ壘生壘旦!Q日復(fù)旦大學(xué)碩士學(xué)位論文ABSTRACTItiswellknownthatoptimaleontrolproblemisoneofthecentralthemesofcontrolscienceThes0_calledmaximum

2、principleisthenecessaryconditionforanoptimalcontr01oneofthemostprincipalandmostcommonlyusedapproacheswhenfacingaoptimalcontrolproblemInthispaper，weconsidertheoptimalcontrolproblemoftimedelayedforward—backwardstochasticsy

3、stemwhencontrolsetisconvexUndersomemonotonicityassumptions，weobtaintheexistenceanduniquenessoftime—delayedforwardbackwardstochasticdifferentialequationsThemaximumprincipleofthisoptimalcontrolproblemisderivedintheconseque

4、nceInChapter1，weformulatetheoptimalcontrolproblem，andprovideahistoryremarkofthestudyofmaximumprincipleInChapter2，wereviewsomeresultsaboutbackwardstochasticdifferentialequations，especiallytheexistenceanduniquenessofthesol

5、utionThisworkisafoundationofthestudyofforward—backwardequationsInChapter3，theexistenceanduniquenessoftimedelayedforward—backwardstochasticdifferentialequationareconsideredUndersomemonotonicityconditions，wegiveapositivean

6、swertothisproblemInChapter4，wecombinethevariationalmethodwithdualitytechniqueandobtainthemaximumprincipleforthetime—delayedforwardbackwardstochasticsystemsKeyword：forward—backwardstochasticdifferentialequation，time—delay