DocumentCode
487493
Title
On the Optimal Control of the Integrated Brownian Motion
Author
Lefebvre, Mario
Author_Institution
Département de mathématiques appliquées, Ecole Polytechnique de Montréal, Montréal, Québec, Canada H3C 3A7
fYear
1988
fDate
15-17 June 1988
Firstpage
1757
Lastpage
1758
Abstract
In this note, we consider the problem of maximizing the time spent by an integrated Brownian motion x(t) in the interval (-d, d). Using a theorem, an expression for the optimal control is obtained in terms of a mathematical expectation for the uncontrolled process. Here we evaluate (approximately) this expression when dx/dt is small.
Keywords
Boundary conditions; Brownian motion; Cost function; Optimal control; Partial differential equations; Process control; Random variables;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 1988
Conference_Location
Atlanta, Ga, USA
Type
conf
Filename
4790009
Link To Document