A stochastic control problem
In this paper, we study a specific stochastic differential equation depending on a parameter and obtain a representation of its probability density function in terms of Jacobi Functions. The equation arose in a control problem with a quadratic performance criteria. The quadratic performance is used...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Texas State University
2004-11-01
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| Series: | Electronic Journal of Differential Equations |
| Subjects: | |
| Online Access: | http://ejde.math.txstate.edu/Volumes/2004/135/abstr.html |