Controllable Markov Processes and Stefan's Problem

B. I. Grigelionis, A. N. Shiryaev


Abstract: The properties of the “cost” $s(x)$ are investigated for controllable Markov processes with continuous time. We obtain a new (integral) form of the recurrence equations satisfied by the “cost” $s(x)$, and find conditions for which $s(x)$ is the solution of a generalized Stefan problem.

UDC: 519.27

Received: 15.10.1966

 English version: Problems of Information Transmission, 1968, 4:1, 47–57

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