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Commande optimale du processus de wiener

Published online by Cambridge University Press:  14 July 2016

Mario Lefebvre
Mario Lefebvre*
Affiliation:
Ecole Polytechnique de Montréal
*
∗Adresse postale: Département de mathématiques appliquées, Ecole Polytechnique de Montréal, Case postale 6079, succursale “A”, Montréal, Québec, Canada H3C 3A7.
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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.

Keywords

WIENER PROCESSSTOCHASTIC CONTROLFIRST-PASSAGE DENSITY
Type
Research Papers
Information
Journal of Applied Probability , Volume 26 , Issue 1 , March 1989 , pp. 50 - 57
Copyright
Copyright © Applied Probability Trust 1989 

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Footnotes

Recherche subventionnée par le Conseil de recherches en sciences naturelles et en génie du Canada.

References

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