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scientific article; zbMATH DE number 1786293
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scientific article; zbMATH DE number 1786293 |
Statements
21 August 2002
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stochastic optimal control
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two-dimensional diffusion process
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dynamic programming equation
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Kolmogorov backward equation
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0.8138070702552795
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0.8101077675819397
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0.8089618682861328
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0.8048635721206665
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The problem is to control a stochastic process in two dimensions such that a certain criterion, e.g. the total run time, is optimized until a certain event occurs, e.g. a given point is reached. In case of a controlled two-dimensional diffusion process, the optimal control is obtained by transforming the optimal control problem into purely probabilistic problems. In case of a two-dimensional Wiener process, an optimal control is determined by transforming a nonlinear dynamic programming equation into the Kolmogorov backward equation for a two-dimensional geometric Brownian motion.
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