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Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process
Mathematics of Operations Research, 1983We consider the optimal control of a one-dimensional diffusion process over a finite time interval. The process may be controlled by varying the diffusion coefficient. The objective is to maximize the expected value of some function of the state, R, at final time.
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Partially Observed Diffusions and Their Control
SIAM Journal on Control and Optimization, 1982This paper is an extension of a previous article of Fleming and Pardoux [SIAM J. Control Optim, 20 (1982), pp. 261–265] on the control of partially observed diffusions, when the control enters linearly into the controlled stochastic differential equation.
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‘Minimum toll’ control of diffusions
Systems & Control Letters, 1989The author generalizes a minimum toll control problem in the following sense: Besides the running cost, a toll is paid for crossing a strip in the region where the controlled diffusion lives. This leads to problem involving two standard Hamilton-Jacobi equations coupled by their boundary data.
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Linear Programming and the Control of Diffusion Processes
INFORMS Journal on Computing, 2015Recent work by Han and Van Roy [Han J, Van Roy B (2011) Control of diffusions via linear programming. Infanger G, ed. Stochastic Programming: The State of the Art, in Honor of George B. Dantzig (Springer, New York), 329–354] introduced a linear programming technique to compute good suboptimal solutions to high-dimensional control problems in a ...
Andrew Ahn, Martin B. Haugh
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An Approach to Controlled Diffusion Processes
Theory of Probability & Its Applications, 1987Let there be given a d-dimensional controlled diffusion process which is a solution to a stochastic differential equation (in the weak sense) with a vector payoff function of usual integral form. The problem considered is to find a Markovian control such that the payoff belongs to a given closed set (is admissible) and the first coordinate of it is ...
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FEEDBACK CONTROL OF LINEAR DIFFUSION PROCESSES
International Journal of Control, 1978We consider the class of diffusion processes described by the generalized heat equation and obtain a practical feedback controller for N system modes. The remaining process modes are effected by the controller and this control spillover is shown to reduce the desired system response time by a predictable amount.
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Large Ranking Games with Diffusion Control
Mathematics of Operations ResearchWe consider a symmetric stochastic differential game where each player can control the diffusion intensity of an individual dynamic state process, and the players whose states at a deterministic finite time horizon are among the best [Formula: see text] of all states receive a fixed prize. Within the mean field limit version of the game, we compute an
Stefan Ankirchner +3 more
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On diffusion-controlled dissociation
Chemical Physics, 1978Abstract The theory of diffusion-controlled association is used to determine the time development of the corresponding dissociation process. The departure from a pure exponential decay will influence the entire time course, and not just the initial transient as in the case of an association process.
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On the control of diffusion processes
Journal of Optimization Theory and Applications, 1974This paper considers the control of one-dimensional diffusion processes where one of the boundaries is inaccessible and the other is regular. Costs arise from a rate depending upon the current state and control and also from jumps from the regular boundary.
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The optimal control of diffusions
Applied Mathematics & Optimization, 1990zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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