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Utilisation de densites des premier passage en commande optimale stochastique

Published online by Cambridge University Press:  01 July 2016

Mario Lefebvre
Mario Lefebvre*
Affiliation:
Ecole Polytechnique De Montreal
*
∗Adresse postale: Département de mathématiques appliquées, Ecole Polytechnique de Montréal, Case postale 6079, succursale “A”, Montréal, Québec, Canada H3C 3A7.
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Abstract

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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.

Keywords

STOCHASTIC CONTROLFIRST-PASSAGE DENSITIESWIENER–LEVY PROCESS
Type
Letters to the Editor
Information
Advances in Applied Probability , Volume 20 , Issue 1 , March 1988 , pp. 231 - 234
Copyright
Copyright © Applied Probability Trust 1988 

Footnotes

Recherche subventionnée par le Conseil de recherches en sciences naturelles et en génie du Canada. Subvention no A7989.

References

Lefebvre, M. (1983) Models of Hazard Survival. Thèse de doctorat, Université de Cambridge, Cambridge, Angleterre.Google Scholar
Lefebvre, M. (1986) Optimal stochastic control of a class of processes with an exponential cost function. Ann. sc. math. Québec 10, (2), 181–187.Google Scholar
Whittle, P. (1982) Optimization over Time, Vol. I. Wiley, Chichester.Google Scholar
Whittle, P. Et Gait, P. A. (1970) Reduction of a class of stochastic control problems. J. Inst. Maths Applics 6, 131–140.Google Scholar