A stochastic control approach to reciprocal diffusion processes (Q805590)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic control approach to reciprocal diffusion processes |
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A stochastic control approach to reciprocal diffusion processes (English)
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1991
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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.
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reciprocal processes
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scalar linear stochastic system
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