Wszystkie pola: Wiener process - 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:: Minimizing the time spent in an interval by a Wiener process with uniform jumps
Autorzy:: Lefebvre, Mario
Powiązania:: https://bibliotekanauki.pl/articles/1839133.pdf
Data publikacji:: 2019
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:: Brownian motion
Poisson process
first-passage time
optimal stochastic control
integro-differential equation
Opis:: Let Xu(t) be a controlled Wiener process with jumps that are uniformly distributed over the interval [−c, c]. The aim is to minimize the time spent by Xu(t) in the interval [a, b]. The integro- differential equation, satisfied by the value function, is transformed into an ordinary differential equation and is solved explicitly for a particular case. The approximate solution obtained is precise when c is small.
Źródło:: Control and Cybernetics; 2019, 48, 3; 407-415
0324-8569
Pojawia się w:: Control and Cybernetics
Dostawca treści:: Biblioteka Nauki

Artykuł

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