Utilisation de densites des premier passage en commande optimale stochastique

Authors
Citation
Lefebvre, Mario, Utilisation de densites des premier passage en commande optimale stochastique, Advances in applied probability , 20(1), 1988, pp. 231-234
ISSN journal
00018678
Volume
20
Issue
1
Year of publication
1988
Pages
231 - 234
Database
ACNP
SICI code
Abstract
A theorem that gives the optimal control of Gaussian processes using the mathematical expectation of a function of the time and the place where the uncontrolled processes hit the boundary of the stopping region for the first time is proved. The result obtained in this note is an extension of a theorem due to Whittle.