Optimal correction problem of a multidimensional stochastic system

✍ Scribed by J.L. Menaldi; M.I. Taksar

• Publisher: Elsevier Science
• Year: 1989
• Tongue: English
• Weight: 705 KB
• Volume: 25
• Category: Article
• ISSN: 0005-1098
• DOI: 10.1016/0005-1098(89)90075-7

✦ Synopsis

For a stochastic system governed by a multidimensional Brownian motion with additive controllable input, optimality equations are solved and the existence and uniqueness of the optimal policy is proved.