scientific article; zbMATH DE number 1786293

MaRDI QIDQ4547601zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 21 August 2002

zbMATH Keywords

dynamic programming equationKolmogorov backward equationstochastic optimal controltwo-dimensional diffusion process

Mathematics Subject Classification ID

Multivariable systems, multidimensional control systems (93C35) Optimal stochastic control (93E20)

Review text

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.

Recommendations

• The probabilistic structure of controlled diffusion processes
• Exact and approximate solutions to LQG homing problems in one and two dimensions
• Stochastic time-optimal control problems
• Generalized Solutions in Nonlinear Stochastic Control Problems
• scientific article; zbMATH DE number 3978966

Cited in

(7)

• Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
• Mayer control problem with probabilistic uncertainty on initial positions
• Probability-constrained analysis, filtering and control
• OPTIMAL CONTROL OF PROBABILITY DENSITY FUNCTIONS OF STOCHASTIC PROCESSES
• Optimal control by searching a two-dimensional diffusion process of special type
• Optimally Coupling the Kolmogorov Diffusion, and Related Optimal Control Problems
• Recursive methods in probability control

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4547601)