An optimal control problem for a Wiener process with random infinitesimal mean

Autori

  • Mario Lefebvre Department of Mathematics and Industrial Engineering, Polytechnique Montréal, C.P. 6079, Succursale Centre-ville, Montr.al, Québec, Canada H3C 3A7
  • Abderrazak Moutassim Department of Mathematics and Industrial Engineering, Polytechnique Montréal, C.P. 6079, Succursale Centre-ville, Montréal, Québec, Canada H3C 3A7

DOI:

https://doi.org/10.1478/AAPP.97S2A1

Parole chiave:

Homing problem, Kolmogorov backward equation, similarity solution, Brownian motion

Abstract

We consider a stochastic optimal control problem for one-dimensional diffusion processes with random infinitesimal mean and variance that depend on a continuoustime Markov chain. The process is controlled until it reaches either end of an interval. The aim is to minimize the expected value of a cost criterion with quadratic control costs on the way and a final cost. A particular case with a Wiener process will be treated in detail. Approximate and numerical solutions will be presented.

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Pubblicato

2019-12-20

Fascicolo

Vol 97, SUPPL NO 2 (2019): NACS 2017

Sezione

NACS 2017 (Conference Proceedings)

Licenza

Creative Commons License
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