Distributed Wiener-Poisson Control.
STANFORD UNIV CA DEPT OF STATISTICS
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A one-dimensional Wiener plus independent Poisson control problem with state governed by a partial differential equation has integrated discounted quadratic cost function and asymmetric bounds on the control, which is a function of the current state. A Bellman equation and maximum principle for partial differential equations are used to obtain the optimal closed loop control in bang-bang form. The finite and infinite integral quadratic cost functions are treated separately.
- Statistics and Probability