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Vietnam Journal of Mathematics 33:4 (2005) 409-419

 The Model of Stochastic Control and Applications

Nguyen Hong Hai and Dang Thanh Hai

Abstract.  In this paper, we present some results for a class of the jump homogeneous controllable stochastic processes on infinite time interval, in particular. Conditions for the existence of optimal strategy (Theorem 3.1). Construction of optimal strategy and defining the cost optimal (Theorem 4.1 and Theorem 4.2).

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