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Vietnam Journal of Mathematics 33:4 (2005) 409-419 |
The Model of Stochastic Control and Applications |
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Nguyen Hong Hai and Dang Thanh Hai |
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Abstract. In this paper, we present some results for a class of the jump homogeneous controllable stochastic processes on infinite time interval, in particular $ \cdot$ Conditions for the existence of optimal strategy (Theorem 3.1). $\cdot$ Construction of optimal strategy and defining the cost optimal (Theorem 4.1 and Theorem 4.2). |
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