OPTIMAL CONTROL OF PROBABILITY DENSITY FUNCTIONS OF STOCHASTIC PROCESSES

DOI10.3846/1392-6292.2010.15.393-407zbMath1216.35154OpenAlexW1992617014MaRDI QIDQ2999956

Publication date: 18 May 2011

Published in: Mathematical Modelling and Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3846/1392-6292.2010.15.393-407

zbMATH Keywords

Fokker-Planck equation stochastic process optimal control theory receding-horizon probability density function control

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Reaction-diffusion equations (35K57) Optimal stochastic control (93E20) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic processes (60G99) Numerical solutions to stochastic differential and integral equations (65C30) Fokker-Planck equations (35Q84)

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