Utilisation de densites des premier passage en commande optimale stochastique

DOI10.2307/1427278zbMath0636.60059OpenAlexW2326356897MaRDI QIDQ3776323

Mario Lefebvre

Publication date: 1988

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427278

zbMATH Keywords

first passage densityoptimal control of a Gaussian process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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