Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/2247

 Title: A Stochastic Control Approach to a Parabolic Equation, Reciprocal Processes Authors: Benchettah, A. Keywords: Fokker-Planck equationreciprocal processentropy distancestochastic optimal controlMarkov processtransition function Issue Date: 2007 Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences Citation: Pliska Studia Mathematica Bulgarica, Vol. 18, No 1, (2007), 41p-56p Abstract: A controllability problem for a Fokker-Planck equation is considered. A solution (v*, ф*) to that problem is constructed by a theorem of Jamison, under proper assumptions. We give a sufficiency condition concerning the initial and terminal data for that solution to exist. We show that v* is an optimal feedback control for a stochastic optimal control problem. Further, we prove that the corresponding optimally controled stochastic process is a reciprocal process which is Markov. Description: 2000 Mathematics Subject Classi cation: 49L60, 60J60, 93E20. URI: http://hdl.handle.net/10525/2247 ISSN: 0204-9805 Appears in Collections: 2007 Volume 18

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