Temat: diffusion process - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Probabilistic solution to a two-dimensional LQG homing problem
Autorzy:: Makasu, C.
Lefebvre, M.
Powiązania:: https://bibliotekanauki.pl/articles/206279.pdf
Data publikacji:: 2012
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: optimal control
dynamic programming
Whittle's theorem
diffusion process
hitting time
Opis:: Let x_t be an arbitrary one-dimensional diffusion process and y_t be a one-dimensional controlled diffusion process starting from y₀ = y ∈ (a, b). The process is controlled until y_t crosses either y = a or y = b for the first time. Our aim is to find the control u_t that minimizes an expected cost functional with both quadratic control and boundary crossing costs. An explicit form for the optimal control is obtained under certain conditions.
Źródło:: Control and Cybernetics; 2012, 41, 1; 5-12
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Some examples of solutions to an inverse problem for the first-passage place of a jump-diffusion process
Autorzy:: Abundo, Mario
Powiązania:: https://bibliotekanauki.pl/articles/2183487.pdf
Data publikacji:: 2022
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: jump-diffusion process
first-passage place
inverse first-passage place problem
Opis:: We report some additional examples of explicit solu- tions to an inverse first-passage place problem for one-dimensional diffusions with jumps, introduced in a previous paper. If X(t) is a one-dimensional diffusion with jumps, starting from a random position η 2 [a, b], let be τa,b the time at which X(t) first exits the interval (a, b), and πa = P(X(τa,b) ≤ a) the probability of exit from the left of (a, b). Given a probability q 2 (0, 1), the problem consists in finding the density g of η (if it exists) such that πa = q; it can be seen as a problem of optimization.
Źródło:: Control and Cybernetics; 2022, 51, 1; 31--42
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

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