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Asymmetric Wiener-Poisson control |
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| Authors: | H Weiner |
| Institution: | 1. Department of Mathematics, University of California, Davis, California |
| Abstract: | A one-dimensional Wiener plus independent Poisson noise control problem, with asymmetric control bounds and integral discounted quadratic cost over an infinite horizon, is considered. The resultant Bellman equations are solved, allowing the optimal control to be expressed explicitly in closed-loop form. |
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