Free Boundary Control of Brownian Motion and a Related Optimal Stopping Problem.

Abstract

This problem is motivated by studying dissipative dynamic systems under uncertainty, which in the simplest case will be a model of the automatic cruise control of an aircraft under rain down wind conditions. Consider a new type of controlled diffusion models in which there are no restrictions on the drift (which is under our control), moreover the drift can take on infinite values. This results in the so called singular or free boundary control. The optimal policy in these models is different from the ones seen in the classical cases. It consists of keeping the process within certain boundaries with minimal efforts. It is shown that one can find optimal boundaries by considering a special stopping game of two players with opposite interests. Keywords: Control Theory.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1986
Accession Number
ADA176971

Entities

People

  • Michael I. Taksar

Organizations

  • Florida State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Air Force
  • Boundaries
  • Brownian Motion
  • Classification
  • Differential Equations
  • Equations
  • Linear Systems
  • Mathematics
  • Scientific Research
  • Security
  • Statistics
  • Universities

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Aerospace Engineering
  • Plasma Physics / Magnetohydrodynamics