Hostname: page-component-74656f9884-2dmjx Total loading time: 0 Render date: 2026-11-09T02:42:08.246Z Has data issue: false hasContentIssue false
  • English
  • Français

Commande optimale du processus de wiener

Published online by Cambridge University Press:  14 July 2016

Mario Lefebvre
Mario Lefebvre*
Affiliation:
Ecole Polytechnique de Montréal
*
∗ Adresse postale: Département de mathématiques appliquées, Ecole Polytechnique de Montréal, Case postale 6079, succursale “A”, Montréal, Québec, Canada H3C 3A7.
Get access Rights & Permissions [Opens in a new window]

Abstract

The problem of the optimal control of the Wiener process in Rn is considered. The optimal value of the control is obtained from the mathematical expectation of a quantity defined in terms of the moment and the place where the uncontrolled process hits the boundary of the continuation region for the first time. Explicit results are presented.

Keywords

WIENER PROCESSSTOCHASTIC CONTROLFIRST-PASSAGE DENSITY

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 26 , Issue 1 , March 1989 , pp. 50 - 57
Copyright
Copyright © Applied Probability Trust 1989 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

Footnotes

Recherche subventionnée par le Conseil de recherches en sciences naturelles et en génie du Canada.

References

Abramowitz, M., Et Stegun, I. A. (1965) Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. Dover, New York.Google Scholar
Bryson, A. E. Et Ho, Y. C. (1915) Applied Optimal Control. Wiley, New York.Google Scholar
Lefebvre, M. (1983) Models of Hazard Survival. Thèse de doctorat, Université de Cambridge, Angleterre.Google Scholar
Lefebvre, M. (1987a) Optimal control of an Ornstein–Uhlenbeck process. Stoch. Proc. Appl. 24, 89–97.CrossRefGoogle Scholar
Lefebvre, M. (1987b) LQG homing in two dimensions. IEEE Trans. Automat. Contr. 32, 639–641.CrossRefGoogle Scholar
Wendel, J. G. (1980) Hitting spheres with Brownian motion. Ann. Prob. 8, 164–169.Google Scholar
Whittle, P. (1982) Optimization Over Time , Volume I. Wiley, Chichester.Google Scholar
Whittle, P. Et Gait, P. A. (1970) Reduction of a class of stochastic control problems. J. Inst. Math. Appl. 6, 131–140.CrossRefGoogle Scholar