OPTIMAL CONTROL OF PROBABILITY DENSITY FUNCTIONS OF STOCHASTIC PROCESSES

DOI10.3846/1392-6292.2010.15.393-407zbMath1216.35154MaRDI 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

49K20: Optimality conditions for problems involving partial differential equations

35K57: Reaction-diffusion equations

93E20: Optimal stochastic control

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

60G99: Stochastic processes

65C30: Numerical solutions to stochastic differential and integral equations

35Q84: Fokker-Planck equations

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