Quadratic functionals of brownian motion, optimal control,and the “colditz” example (Q4034501)
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scientific article; zbMATH DE number 167569
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| English | Quadratic functionals of brownian motion, optimal control,and the “colditz” example |
scientific article; zbMATH DE number 167569 |
Statements
Quadratic functionals of brownian motion, optimal control,and the “colditz” example (English)
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16 May 1993
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linear optimal control
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quadratic functionals of Brownian motion
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Laplace transform
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0.7423288226127625
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0.7370889782905579
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The expectation of the exponential of some quadratic functionals of Brownian motion or equivalently the Laplace transform of the distribution of these quadratic functionals is computed by relating it to a deterministic linear quadratic control problem. Special cases of these computations appear in the early work of Cameron and Martin on Wiener integrals. An example, the Colditz example, is given to show the usefullness of the method.
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