Accession Number : ADA135943

Title :   Wiener-Poisson Control Problems.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s) : Weiner,H

PDF Url : ADA135943

Report Date : 22 Nov 1983

Pagination or Media Count : 22

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)

Descriptors :   *Control theory, *Stochastic control, Stochastic processes, Heuristic methods, One dimensional, Asymptotic normality, Difference equations, Differential equations, Closed loop systems

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE