论文信息 - Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process

Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process

We 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. In this paper we investigate the properties of a particular bang-bang control (sigma) 0 , and find necessary and sufficient conditions on R for (sigma) 0 to be optimal.

J. M. McNamara | J. McNamara

[1] Shintaro Nakao,et al. On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations , 1972 .

[2] Thomas Caraco,et al. ON FORAGING TIME ALLOCATION IN A STOCHASTIC ENVIRONMENT , 1980 .

[3] D. Stephens. The logic of risk-sensitive foraging preferences , 1981, Animal Behaviour.

[4] W. Fleming,et al. Deterministic and Stochastic Optimal Control , 1975 .

[5] T. Caraco,et al. An empirical demonstration of risk-sensitive foraging preferences , 1980, Animal Behaviour.