A solvable stochastic control problem in hyperbolic three space (Q579213): Difference between revisions

The author considers a stochastic optimal control problem in hyperbolic three space, and explicitly solves it, by finding a smooth solution of the dynamic programming equation. More precisely, the stochastic system in \(H^ 3\) is described by the following stochastic differential equations in the geodesic polar coordinates \[ dX^ 1_ t=\frac{\cosh X^ 1_ t}{\sinh X^ 1_ t}dt+\frac{U_ t}{\sinh X^ 1_ t}dt+dW^ 1_ t, \] \[ dX^ 2_ t=\frac{1}{\sin X^ 3_ t\quad \sinh X^ 1_ t}dW^ 2_ t,\quad dX^ 3_ t=\frac{\cos X^ 3_ t}{2\quad \sin X^ 3_ t\quad \sinh X^ 1_ t}+\frac{1}{\sinh X^ 1_ t}dW^ 3_ t \] where \(t\in [0,T]\), \(X(0)=(X^ 1_ 0,X^ 2_ 0,X^ 3_ 0)=\alpha\), \(X^ 1_ 0\neq 0\), and \((W^ 1_ t,W^ 2_ t,W^ 3_ t)\), is a standard three-dimensional Brownian motion and the cost function is: \[ J(U)=E_{\alpha}\int^{T}_{0}(a\quad \cosh | X(t)| +\frac{| U(t)|^ 2}{\cosh | X(t)|})dt. \] Then there exists an optimal stochastic control \(u^*\) that in geodesic polar coordinates is: \(u^*(s,x)=- g(s)\) cosh\(| x|\) where \(s\in [0,T]\), \(x\in H^ 3\) and g is the unique positive solution of the Riccati equation: \(g'+3/2 g-1/4 g^ 2+a=0\), \(g(T)=0\).