Accession Number : AD0755563

Title :   Optimal Control of Diffusion Processes,

Corporate Author : BROWN UNIV PROVIDENCE R I CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s) : Fleming,Wendell H.

Report Date : MAR 1972

Pagination or Media Count : 14

Abstract : The paper summarizes some recent work on optimal control theory for continuous parameter stochastic processes. The author discusses only the control of Markov diffusion processes governed by stochastic differential equations of Ito type. Moreover, the author considers only the two cases when either: (A) no observations are available to the controller (open loop control); or (B) the states of the processes are completely observed by the controller. (Author)

Descriptors :   (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), STOCHASTIC PROCESSES, DIFFUSION, DIFFERENTIAL EQUATIONS, DYNAMIC PROGRAMMING, NOISE

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE