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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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