Composition and invariance methods for solving some stochastic control problems
- 1 June 1975
- journal article
- research article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 7 (02) , 299-329
- https://doi.org/10.1017/s0001867800046000
Abstract
This paper considers certain stochastic control problems in which control affects the criterion through the process trajectory. Special analytical methods are developed to solve such problems for certain dynamical systems forced by white noise. It is found that some control problems hitherto approachable only through laborious numerical treatment of the non-linear Bellman-Hamilton-Jacobi partial differential equation can now be solved.Keywords
This publication has 4 references indexed in Scilit:
- Girsanov functionals and optimal bang-bang laws for final value stochastic controlStochastic Processes and their Applications, 1974
- Wiener Integrals Associated with Diffusion ProcessesTheory of Probability and Its Applications, 1968
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of MeasuresTheory of Probability and Its Applications, 1960
- Transformations of Weiner Integrals Under TranslationsAnnals of Mathematics, 1944