Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
type: Item
instance of: scholarly article
title: Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation
zbMATH Open document ID: 0906.93064
author: Ioannis Karatzas
published in: The Asian Journal of Mathematics
publication date: 1999-02-01T00:00:00Z
review text: A stochastic adaptive control problem to maximize the probability of achieving a ``goal'' at a fixed time is solved. The observation process is a Brownian motion with a drift that is a random variable independent of the Brownian motion. The class of controls are square integrable, adapted processes. An optimal control is given explicitly.
Mathematics Subject Classification ID: 93E35
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C40
zbMATH DE Number: 1143929
zbMATH Keywords: adaptive control
zbMATH Keywords: Monge-Ampère-type equations
zbMATH Keywords: stochastic control
reviewed by: T. E. Duncan
MaRDI profile type: Publication
DOI: 10.4310/AJM.1997.V1.N2.A7
description: scientific article; zbMATH DE number 1143929