Short Communications

On controlled diffusion processes in a bounded domain

L. A. Alyushina

Vladimir State Technical University

Abstract: The paper studies an optimization problem for controlled diffusion processes in a smooth bounded domain. The existence of an optimal control with “good” properties is demonstrated for controlled (in the weak sense) processes of diffusion type.

Keywords: controlled diffusion processes, optimal control.

Received: 25.02.1992

 English version: Theory of Probability and its Applications, 1995, 40:3, 533–538

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