Finite horizon singular control and a related two-person game
We consider the finite horizon problem of tracking a Brownian Motion, with possibly non zero drift, by a process of bounded variation, in such a way as to minimize total expected cost of "action" and "deviation from a target state." The cost of "action" is given by two...
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| Format: | Others |
| Language: | English |
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| Online Access: |
http://purl.flvc.org/fsu/lib/digcoll/etd/3086851 |