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Teoriya Veroyatnostei i ee Primeneniya, 1964, Volume 9, Issue 4, Pages 655–669
(Mi tvp416)
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This article is cited in 10 scientific papers (total in 10 papers)
On the Control of Non-Stopped Diffusion Processes
Petr Mandl Prague
Abstract:
In Part I of the paper the mean cost for a unit of time arising from a non-terminating diffusion process, denoted by $\Theta$, is defined. One part of the cost originates from the motion inside the interval between two boundaries, the other part originates in the jumps from these boundaries. $\Theta$ is characterised by Theorem I. In Part II it is supposed that the diffusion coefficient and the coefficient of the local shift of the process depend on a control variable. The optimum $\hat\Theta$ of realizable mean costs may be determined by means of Theorem 2.
Received: 16.05.1964
Citation:
Petr Mandl, “On the Control of Non-Stopped Diffusion Processes”, Teor. Veroyatnost. i Primenen., 9:4 (1964), 655–669; Theory Probab. Appl., 9:4 (1964), 591–603
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