The δ − sensitivity and

نویسنده

  • Emo Todorov
چکیده

We provide optimal control laws by using tools from stochastic calculus of variations and the mathematical concept of δ−sensitivity. The analysis relies on logarithmic transformations of the value functions and the use of linearly solvable Partial Differential Equations(PDEs). We derive the corresponding optimal control as a function of the δ−sensitivity of the logarithmic transformation of the value function for the case of nonlinear diffusion processes affine in control and noise.

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تاریخ انتشار 2013