Wiener-Poisson Control Problems.
STANFORD UNIV CA DEPT OF STATISTICS
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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
- Statistics and Probability