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Commande optimale du processus de wiener
Published online by Cambridge University Press: 14 July 2016
Abstract
The problem of the optimal control of the Wiener process in Rn is considered. The optimal value of the control is obtained from the mathematical expectation of a quantity defined in terms of the moment and the place where the uncontrolled process hits the boundary of the continuation region for the first time. Explicit results are presented.
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- Copyright © Applied Probability Trust 1989
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Recherche subventionnée par le Conseil de recherches en sciences naturelles et en génie du Canada.
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