Quadratic functionals of brownian motion, optimal control,and the “colditz” example

DOI10.1080/17442509208833803zbMath0772.60058OpenAlexW2020449896MaRDI QIDQ4034501

L. C. G. Rogers, Zhan Shi

Publication date: 16 May 1993

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509208833803

zbMATH Keywords

Laplace transformlinear optimal controlquadratic functionals of Brownian motion

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Brownian motion (60J65) Optimal stochastic control (93E20)

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