On a Stochastic Control Problem with Exit Constraints.

Abstract

In this paper the logarithmic transformation of Fleming is used to discuss a specific problem of controlled diffusions. The problem is to minimize a certain quadratic functional of the applied drift while satisfying the requirement that the place where the process exists a domain is not in a specified subset of its boundary. The main result is that the solution of this problem is given by the logarithm of a related exit probability. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1979
Accession Number
ADA078372

Entities

People

  • Martin Day

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Air Force Facilities
  • Boundaries
  • Convergence
  • Diffusion
  • Equations
  • Feedback
  • Mathematics
  • Probability
  • Rhode Island
  • Sequences
  • Stochastic Control
  • Three Dimensional

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Statistical inference.
  • Theoretical Analysis.