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• W2090069891 abstract "We consider a stochastic dynamic system which is governed by a multidimensional diffusion process with constant drift and diffusion coefficients. The correction corresponds to an additive input which is under control. There is no limit on the rate of input into the system. The objective is to minimize the expected cumulative cost associated with the position of the system and the amount of control exerted. It is proved that Hamilton-Jacobi-Bellman's equation of the problem has a solution, which corresponds to the optimal cost of the problem. An existence of optimal policy is proved." @default.
• W2090069891 created "2016-06-24" @default.
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• W2090069891 date "1989-03-01" @default.
• W2090069891 modified "2023-10-10" @default.
• W2090069891 title "Optimal correction problem of a multidimensional stochastic system" @default.
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• W2090069891 doi "https://doi.org/10.1016/0005-1098(89)90075-7" @default.
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