- Tytuł:
- The LQG homing problem for a Wiener process with random infinitesimal parameters
- Autorzy:
-
Lefebvre, Mario
Moutassim, Abderrazak - Powiązania:
- https://bibliotekanauki.pl/articles/229262.pdf
- Data publikacji:
- 2019
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
stochastic optimal control
first-passage time
dynamic programming
Brownian motion - Opis:
- The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = -∞, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.
- Źródło:
-
Archives of Control Sciences; 2019, 29, 3; 413-422
1230-2384 - Pojawia się w:
- Archives of Control Sciences
- Dostawca treści:
- Biblioteka Nauki
Artykuł