Asymmetric Weiner-Poisson Control.
STANFORD UNIV CA DEPT OF STATISTICS
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A one-dimensional Wiener plus independent Poisson control problem with asymmetric constant bounds on the control and integral discounted quadratic cost function is considered. The resultant Bellman equation is solved when two homogeneous partial differential-difference equations are solvable and when the Bellman function satisfies certain matching and boundary conditions. These sufficient conditions would allow the optimal control to be expressed in bang-bang form. Author
- Statistics and Probability