Probabilistic aspects of finite-fuel stochastic control
- 1 September 1985
- journal article
- Published by Proceedings of the National Academy of Sciences in Proceedings of the National Academy of Sciences
- Vol. 82 (17) , 5579-5581
- https://doi.org/10.1073/pnas.82.17.5579
Abstract
The problem is that of following the Brownian path by a nondecreasing, bounded process in such a way as to minimize the expected cost over a finite horizon. Using purely probabilistic arguments, one obtains a fairly explicit representation for the value of this problem, as well as information about the nature of the optimal process.Keywords
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