Optimal control of one dimensional non-conservative quasi-diffusion processes
1980; Elsevier BV; Volume: 10; Issue: 3 Linguagem: Inglês
10.1016/0304-4149(80)90012-5
ISSN1879-209X
Autores Tópico(s)Differential Equations and Boundary Problems
ResumoAn extension of the work of P. Mandl concerning the optimal control of time-homogeneous diffusion processes in one dimension is given. Instead of a classical second order differential operator as infinitesimal generator, Feller's generalized differential operator DmD+p with a possibly nondecreasing weight function m is used. In this manner an optimal control of a wider class of one dimensional Marcov processes-including diffusions as well as birth and death processes-is realized.
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