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Probabilistic aspects of finite-fuel stochastic control
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...
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| 第一著者: | |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
1985
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| 主題: | |
| オンライン･アクセス: | https://ncbi.nlm.nih.gov/pmc/articles/PMC390593/ https://ncbi.nlm.nih.gov/pubmed/16593593 |
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