An optimal control problem without control costs
A two-dimensional diffusion process is controlled until it enters a given subset of $ \mathbb{R}^2 $. The aim is to find the control that minimizes the expected value of a cost function in which there are no control costs. The optimal control can be expressed in terms of the value function, which gi...
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| Format: | Article |
| Language: | English |
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AIMS Press
2023-01-01
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| Series: | Mathematical Biosciences and Engineering |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/mbe.2023239?viewType=HTML |