Accession Number:

ADA058874

Title:

Optimal Control of Markov Diffusion Processes.

Descriptive Note:

Interim rept.,

Corporate Author:

BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS

Personal Author(s):

Report Date:

1978-01-01

Pagination or Media Count:

11.0

Abstract:

Some results from optimal stochastic theory are surveyed in this paper, with particular emphasis on control of diffusion processes. Methods for obtaining necessary and sufficient conditions for an optimum are obtained, as well as some techniques for approximate solution. A new application of stochastic control methods is made to obtain Ventcel-Freidlin type estimates for the probability that the states of a diffusion process remain in a given region during a given time period. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE