Utilisation de densites des premier passage en commande optimale stochastique
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Published:1988-03
Issue:1
Volume:20
Page:231-234
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ISSN:0001-8678
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Container-title:Advances in Applied Probability
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language:en
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Short-container-title:Advances in Applied Probability
Abstract
A theorem that gives the optimal control of Gaussian processes using the mathematical expectation of a function of the time and the place where the uncontrolled processes hit the boundary of the stopping region for the first time is proved. The result obtained in this note is an extension of a theorem due to Whittle.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Reference4 articles.
1. Reduction of a Class of Stochastic Control Problems
2. Optimal stochastic control of a class of processes with an exponential cost function;Lefebvre;Ann. sc. math. Québec,1986
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