Temat: first-passage time - Katalog OPAC zbiorów

Skocz do pozycji: 1.

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

Skocz do pozycji: 2.

Tytuł:: A boundary value problem for a non-linear difference equation
Autorzy:: Lefebvre, Mario
Powiązania:: https://bibliotekanauki.pl/articles/27324014.pdf
Data publikacji:: 2023
Wydawca:: Polska Akademia Nauk. Czasopisma i Monografie PAN
Tematy:: higher-order difference equations
optimal control
dynamic programming
first-passage time
homing problem
Opis:: A boundary value problem for a non-linear difference equation of order three is considered. We show that this equation can be interpreted as the equation satisfied by the value function in a stochastic optimal control problem. We thus obtain an expression for the solution of the non-linear difference equation that can be used to find an explicit solution to this equation. An example is presented.
Źródło:: Archives of Control Sciences; 2023, 33, 4; 829--837
1230-2384
Pojawia się w:: Archives of Control Sciences
Dostawca treści:: Biblioteka Nauki

Artykuł

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