A Fokker-Planck control framework for multidimensional stochastic processes

DOI10.1016/j.cam.2012.06.019zbMath1251.35196MaRDI QIDQ455883

Alfio Borzì, Mario Annunziato

Publication date: 22 October 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.06.019

zbMATH Keywords

Fokker-Planck equation; probability density function; model predictive control; optimal control theory; multidimensional stochastic process

Mathematics Subject Classification ID

35K57: Reaction-diffusion equations

60H25: Random operators and equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

35Q84: Fokker-Planck equations