Accession Number:

ADA134531

Title:

Asymmetric Wiener Control.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1983-04-12

Pagination or Media Count:

13.0

Abstract:

A one-dimensional Wiener control problem with integral discounted quadratic cost function and asymmetric bounds on the control is considered, with infinite horizon. The optimal control is explicitly found. Bellman equations and Ito integrals are used to show optimality. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE