Article (2016)
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Abstract
The problem of optimally controlling a standard Brownian motion until a fixed final time is considered in the case when the final cost function is an even function. Two particular problems are solved explicitly. Moreover, the best constant control as well as the best linear control are also obtained in these two particular cases.
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| Subjects: | 2950 Applied mathematics > 2950 Applied mathematics |
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| Department: | Department of Mathematics and Industrial Engineering |
| Funders: | CRSNG / NSERC |
| PolyPublie URL: | https://publications.polymtl.ca/3608/ |
| Journal Title: | Archives of Control Sciences (vol. 26, no. 3) |
| Publisher: | Sciendo |
| DOI: | 10.1515/acsc-2016-0021 |
| Official URL: | https://doi.org/10.1515/acsc-2016-0021 |
| Date Deposited: | 15 Jan 2019 12:14 |
| Last Modified: | 26 Sep 2024 11:01 |
| Cite in APA 7: | Lefebvre, M. (2016). Optimal and Suboptimal Control of a Standard Brownian Motion. Archives of Control Sciences, 26(3), 383-394. https://doi.org/10.1515/acsc-2016-0021 |
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