Optimal and Suboptimal Control of a Standard Brownian Motion
The problem of optimally controlling a standard Brownian motion until a fixed final time is considered in the case when the final cost function is an even function. Two particular problems are solved explicitly. Moreover, the best constant control as well as the best linear control are also obtained...
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| Format: | Article |
| Language: | English |
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Polish Academy of Sciences
2016-09-01
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| Series: | Archives of Control Sciences |
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| Online Access: | http://www.degruyter.com/view/j/acsc.2016.26.issue-3/acsc-2016-0021/acsc-2016-0021.xml?format=INT |