We consider the finite horizon problem of tracking a Brownian Motion, with possibly non zero drift, by a process of bounded variation, in such a way as to minimize total expected cost of "action" and "deviation from a target state." The cost of "action" is given by two functions (of time), which represent price per unit of increase and decrease in the state process; the cost of "deviation" is incurred continuously at a rate given by a function convex in the state variable and a terminal cost function. We obtain the optimal cost function for this problem, as well an $\varepsilon$-optimal strategy, through the solution of a system of variational inequalities, which has a stochastic representation as the value function for an appropriate two-person game. / Source: Dissertation Abstracts International, Volume: 49-06, Section: B, page: 2256. / Major Professor: Michael Taksar. / Thesis (Ph.D.)--The Florida State University, 1988.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_76324 |
| Contributors | Santana, Paulo Reinhardt., Florida State University |
| Source Sets | Florida State University |
| Language | English |
| Detected Language | English |
| Type | Text |
| Format | 50 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
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