Accession Number : AD0748612

Title :   On the Optimal Control of Diffusion Processes.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH

Personal Author(s) : Puterman,Martin L.

Report Date : 20 AUG 1972

Pagination or Media Count : 92

Abstract : The author considers three problems in the optimal control of diffusion processes. The first is that of optimally controlling a diffusion process on a compact interval. The second problem is that of optimally controlling a diffusion process on a bounded subset of Euclidean n-space, with refledtion on the boundary. The last problem arises in controlling a continuous time production process. (Author)

Descriptors :   (*INVENTORY CONTROL, MATHEMATICAL MODELS), (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), DIFFUSION, PARTIAL DIFFERENTIAL EQUATIONS, ANALYTIC FUNCTIONS, TIME LAG THEORY, STOCHASTIC PROCESSES, DYNAMIC PROGRAMMING, MEASURE THEORY, MATRICES(MATHEMATICS), FUNCTIONAL ANALYSIS, THEOREMS

Subject Categories : Sociology and Law
      Statistics and Probability
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE