A stochastic control approach to reciprocal diffusion processes (Q805590): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 11:06, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic control approach to reciprocal diffusion processes |
scientific article |
Statements
A stochastic control approach to reciprocal diffusion processes (English)
0 references
1991
0 references
A stochastic control problem is formulated and solved where the distributions at the two end points are fixed and the control appears in the drift of the stochastic differential equation. The control energy is to be minimized. A logarithmic transformation is used to solve this control problem. A scalar linear stochastic system example is given.
0 references
reciprocal processes
0 references
scalar linear stochastic system
0 references
