Composition and invariance methods for solving some stochastic control problems
- 1 June 1975
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 7 (2) , 299-329
- https://doi.org/10.2307/1426079
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
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