Optimal control of the Wiener process

Optimal control of the Wiener process

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Article ID: iaor1990348
Country: Israel
Volume: 26
Issue: 1
Start Page Number: 50
End Page Number: 57
Publication Date: Mar 1989
Journal: Journal of Applied Probability
Authors:
Abstract:

The problem of the optimal control of the Wiener process in Rn is considered. The optimal value of the control is obtained from the mathematical expectation of a quantity defined in terms of the moment and the place where the uncontrolled process hits the boundary of the continuation region for the first time. Explicit results are presented.

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