Mario Lefebvre
Article (2016)
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Published Version Terms of Use: Creative Commons Attribution Non-commercial No Derivatives. Download (210kB) |
| Cite this document: | Lefebvre, M. (2016). Optimal and Suboptimal Control of a Standard Brownian Motion. Archives of Control Sciences, 26(3), p. 383-394. doi:10.1515/acsc-2016-0021 |
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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.
Uncontrolled Keywords
stochastic control, Wiener process, best linear control.
 Open Access document in PolyPublie |
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| Subjects: | 2950 Mathématiques appliquées > 2950 Mathématiques appliquées |
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| Department: | Département de mathématiques et de génie industriel |
| Research Center: | Non applicable |
| Funders: | CRSNG / NSERC |
| Date Deposited: | 15 Jan 2019 12:14 |
| Last Modified: | 16 Jan 2019 01:20 |
| PolyPublie URL: | https://publications.polymtl.ca/3608/ |
 Document issued by the official publisher |
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| Journal Title: | Archives of Control Sciences (vol. 26, no. 3) |
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| Publisher: | Sciendo |
| Official URL: | https://doi.org/10.1515/acsc-2016-0021 |
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