Some solvable stochastic control problemst†
作者:
V. E. Beneš,
L. A Shepp,
H. S Witsenhausen,
期刊:
Stochastics
(Taylor Available online 1980)
卷期:
Volume 4,
issue 1
页码: 39-83
ISSN:0090-9491
年代: 1980
DOI:10.1080/17442508008833156
出版商: Gordon and Breach Science Publishers, Inc
数据来源: Taylor
摘要:
We find the explicit solution to several new problems in stochastic control, among them the finite-fuel problem of optimally tracking a standard Wiener processx+wtstarted atxby a nonanticipating process ξthaving ξ0=0 and total variation (fuel)so as to minimize the expected discounted cost. In n dimensions, the optimal process ξ is given thus: fuel is expended in a singular way to forcex+w–ξtreach and stay in the regionremaining at timet, and f′ is a Bessel (n even) or an elementary function (n odd). Except for a possible initial jump in ξ the processis a degenerate diffusion that reflects at fixed angels off the boundaryand is expressible in terms of the local times on the boundary components.
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