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Utilisation de densites des premier passage en commande optimale stochastique
Published online by Cambridge University Press: 01 July 2016
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.
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- Copyright © Applied Probability Trust 1988
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Recherche subventionnée par le Conseil de recherches en sciences naturelles et en génie du Canada. Subvention no A7989.
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