Fokker-Planck equation reciprocal process entropy distance stochastic optimal control Markov process transition 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.
