Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation (Q1383461)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation |
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Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation (English)
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1 February 1999
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A stochastic adaptive control problem to maximize the probability of achieving a ``goal'' at a fixed time is solved. The observation process is a Brownian motion with a drift that is a random variable independent of the Brownian motion. The class of controls are square integrable, adapted processes. An optimal control is given explicitly.
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adaptive control
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Monge-Ampère-type equations
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stochastic control
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