Some Solvable Stochastic Control Problems

Explore stochastic control problems for continuous time systems in this 30-minute conference talk from the 2013 SIAM Annual Meeting. Discover a direct method for determining optimal controls and costs explicitly, demonstrated through various examples. Examine applications including linear quadratic control with arbitrary noise processes, controlled Brownian motion in symmetric spaces, and linear exponential quadratic Gaussian control. Learn how these problems can be extended to infinite-dimensional Hilbert spaces for stochastic partial differential equations. Gain insights from Tyrone Duncan of the University of Kansas on solving complex stochastic control problems in industrial and applied mathematics.