Article
Full entry |
PDF
(1.7 MB)
Feedback
PDF
(1.7 MB)
Feedback
Keywords:
probability theory
probability theory
Summary:
A method of reducing the expected cost in a Markov chain developed by J. H. Eaton and L. A. Zadeh is applied to diffusion processes. A modification of this method for reducing the mean cost per unit of (generalized) time in non-stopped diffusion processes is presented.
References:
[1] J. H. Eaton L. A. Zadeh: Optimal pursuit strategies in discrete state probabilistic systems. J. of Basic Engin. Ser. D 84 (1961), 23-29. MR 0153510
[2] W. Feller: Diffusion processes in one dimension. Trans. of Amer. Math. Soc. 77 (1954), 1-31. DOI 10.1090/S0002-9947-1954-0063607-6 | MR 0063607 | Zbl 0059.11601
[3] P. Mandl: O optimálním řízení jednorozměrných difusních procesů. Aplikace mat. 9 (1964), 412-420. MR 0184780
[4] П. Мапдл: Об управлении не обрывающимися диффузионными процессами. Теория вероят. и ее примен. 9 (1964), 655-669. MR 0186450 | Zbl 1117.65300
[5] P. Mandl: Anwendungen der Theorie der optimalen Regelung nichtabbrechender Diffusionsprozesse. Kybernetika 1 (1965), 28-36. MR 0189884 | Zbl 0178.53301
Search
Partner of
