Optimal Stationary Linear Control of the Wiener Process.

Abstract

In this paper we consider the problem of stationary control of the stochastic differential equation where (W sub t) is a Wiener process on an underlying probability space. Two kinds of cost are involved in this problem. First, one pays Phi(zeta sub t) per unit time for being in the wrong state zeta sub t; secondly, one pays u sub t per unit time for using the control law u sub t. The control problem is to choose a law so as to minimize the average expected total cost. It is proved that the optimal law can be explicitly described and its performance characterized in terms of the cost function.

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Document Details

Document Type
Technical Report
Publication Date
Feb 29, 1980
Accession Number
ADA084350

Entities

People

  • Ioannis Karatzas
  • Vaclav E. Benes

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Applied Mathematics
  • Cauchy Problem
  • Computer Programming
  • Differential Equations
  • Distribution Functions
  • Dynamic Programming
  • Equations
  • Intervals
  • Markov Processes
  • Mathematics
  • Partial Differential Equations
  • Probability
  • Probability Distribution Functions
  • Probability Distributions
  • Random Variables
  • Stationary
  • Stochastic Processes

Readers

  • Mathematical Modeling and Probability Theory.
  • Military Mobilization and Reserve Forces Studies.

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  • Space
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