Abstract
The problem of the optimal control of the Wiener process in Rn is considered. The optimal value of the control is obtained from the mathematical expectation of a quantity defined in terms of the moment and the place where the uncontrolled process hits the boundary of the continuation region for the first time. Explicit results are presented.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
2 articles.
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