Optimal Control of Diffusion Processes,

Abstract

The paper summarizes some recent work on optimal control theory for continuous parameter stochastic processes. The author discusses only the control of Markov diffusion processes governed by stochastic differential equations of Ito type. Moreover, the author considers only the two cases when either: (A) no observations are available to the controller (open loop control); or (B) the states of the processes are completely observed by the controller. (Author)

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1972
Accession Number
AD0755563

Entities

People

  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Control Theory
  • Differential Equations
  • Diffusion
  • Equations
  • Mathematical Analysis
  • Mathematics
  • New York
  • Observation
  • Partial Differential Equations
  • Real Variables
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.