Optimal Control of Markov Diffusion Processes.

Abstract

Some results from optimal stochastic theory are surveyed in this paper, with particular emphasis on control of diffusion processes. Methods for obtaining necessary and sufficient conditions for an optimum are obtained, as well as some techniques for approximate solution. A new application of stochastic control methods is made to obtain Ventcel-Freidlin type estimates for the probability that the states of a diffusion process remain in a given region during a given time period. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1978
Accession Number
ADA058874

Entities

People

  • Wendell Fleming

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Applied Mathematics
  • Computer Programming
  • Control Systems
  • Differential Equations
  • Diffusion
  • Dynamic Programming
  • Equations
  • Identities
  • Inequalities
  • Markov Chains
  • Mathematical Analysis
  • Mathematics
  • Noise
  • Polynomials
  • Probability
  • Stochastic Control
  • White Noise

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.