A Fokker-Planck control framework for multidimensional stochastic processes

DOI10.1016/J.CAM.2012.06.019zbMATH Open1251.35196OpenAlexW2035353740MaRDI QIDQ455883FDOQ455883

Authors: Alfio Borzì, M. 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

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zbMATH Keywords

probability density functionFokker-Planck equationmodel predictive controloptimal control theorymultidimensional stochastic process

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Random operators and equations (aspects of stochastic analysis) (60H25)

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