Accession Number:

ADA135943

Title:

Wiener-Poisson Control Problems.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1983-11-22

Pagination or Media Count:

22.0

Abstract:

A one-dimensional Wiener plus independent Poisson control process has integrated, discounted non-quadratic cost function with asymmetric bounds on the non-anticipative control, assumed to be a function the current state. A Bellman equation and maximum principle for partial differential-difference equations may be used to obtain the optimal closed loop control if some assumptions on the asymptotic behavior of certain partial differential-difference equations are met. The finite and infinite integral cases are treated separately. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE