No CrossRef data available.
Article contents
Optimal control of ultimately bounded stochastic processes
Published online by Cambridge University Press: 22 January 2016
Extract
We shall consider the optimal control for a system governed by a stochastic differential equation
where u(t, x) is an admissible control and W(t) is a standard Wiener process. By an optimal control we mean a control which minimizes the cost and in addition makes the corresponding Markov process stable.
- Type
- Research Article
- Information
- Copyright
- Copyright © Editorial Board of Nagoya Mathematical Journal 1974