Photo from wikipedia
We consider the problem of optimally controlling a one-dimensional Wiener process with Poissonian jumps until it leaves the interval . The exact optimal control is obtained in a particular case… Click to show full abstract
We consider the problem of optimally controlling a one-dimensional Wiener process with Poissonian jumps until it leaves the interval . The exact optimal control is obtained in a particular case by solving the differential-difference equation satisfied by the value function. An approximate solution is also presented in a more general case. This approximate solution is appropriate when the jump size is small.
Keywords:
solutions homing;
exact solutions;
problem;
wiener process
Journal Title: Optimization
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Optimization
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!