A stochastic control approach to reciprocal diffusion processes (Q805590)
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scientific article; zbMATH DE number 4204267
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic control approach to reciprocal diffusion processes |
scientific article; zbMATH DE number 4204267 |
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A stochastic control approach to reciprocal diffusion processes (English)
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1991
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A stochastic control problem is formulated and solved where the distributions at the two end points are fixed and the control appears in the drift of the stochastic differential equation. The control energy is to be minimized. A logarithmic transformation is used to solve this control problem. A scalar linear stochastic system example is given.
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reciprocal processes
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scalar linear stochastic system
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