44711 | ИПУ РАН

Автор(ы):

Автор(ов):

Параметры публикации

Тип публикации:

Тезисы доклада

Название:

Averaged control for 1D ergodic diffusions

Электронная публикация:

Да

Наименование конференции:

39th Conference on Stochastic Processes and their Applications (SPA2017, Moscow)

Наименование источника:

BOOK OF ABSTRACTS of the 39th Conference on Stochastic Processes and their Applications (SPA2017, Moscow)

Город:

Москва

Издательство:

Bernoulli Society

Год издания:

2017

Страницы:

119-119

Аннотация

An ergodic HJB (Bellman) equation is proved for a 1D controlled stochastic differential equation (SDE) with variable diffusion and drift coefficients both depending on the control strategy.

Библиографическая ссылка:

Анулова С.В., Веретенников А.Ю., Mai H.H. Averaged control for 1D ergodic diffusions / BOOK OF ABSTRACTS of the 39th Conference on Stochastic Processes and their Applications (SPA2017, Moscow). М.: Bernoulli Society, 2017. С. 119-119.