Asymmetric Wiener Control.

Abstract

A one-dimensional Wiener control problem with integral discounted quadratic cost function and asymmetric bounds on the control is considered, with infinite horizon. The optimal control is explicitly found. Bellman equations and Ito integrals are used to show optimality. (Author)

Document Details

Document Type
Technical Report
Publication Date
Apr 12, 1983
Accession Number
ADA134531

Entities

People

  • Howard Weiner

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Equations
  • Integrals

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Operations Research