Singular and Bang-Bang Stochastic Control.

Abstract

Research supported by this grant focussed on the regularity of the value function for multi-dimensional singular stochastic control problems. In addition, a multi-dimensional finite-fuel problem has been studied, and known results for one dimensional problems have been extended to higher dimensions.

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Document Details

Document Type
Technical Report
Publication Date
Sep 30, 1990
Accession Number
ADA234752

Entities

People

  • Steven E. Shreve

Organizations

  • Carnegie Mellon University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Boundaries
  • Brownian Motion
  • Classification
  • Differential Equations
  • Equations
  • Formulas (Mathematics)
  • Geometry
  • Inequalities
  • Mathematical Analysis
  • Mathematics
  • Partial Differential Equations
  • Probability
  • Security
  • Stochastic Control
  • Two Dimensional

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Technical Research and Report Writing.