A simple stochastic control problem with anticipation |
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Authors: | Yoneyama T |
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Affiliation: | Instituto Tecnológico de Aeronáutica, São José dos Campos-SP, Brazil; |
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Abstract: | We consider in this note a particular case of the problem of stochastic optimal control when the state noise is a Brownian motion process(w_{z}), z in 0,1]and the value of (w1) is known a priori. An example of application is given in terms of spatial noises. |
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