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On the optimal control of a random walk with jumps and barriers. (English) Zbl 1387.93183
Summary: The modeling and optimal control of a class of random walks (RWs) is investigated in the framework of the Chapman-Kolmogorov (CK) and Fokker-Planck (FP) equations. This class of RWs includes jumps driven by a compound Poisson process and are subject to different barriers. A control mechanism is investigated that is included in the CK stochastic transition matrix and the purpose of the control is to track a desired discrete probability density function and attain a desired terminal density configuration. Existence and characterization of optimal controls are discussed. The proposed approach allows the derivation of a new FP model that accommodates the presence of the jumps and guarantees conservation of total probability in the case of reflecting barriers, which are modelled by appropriate operators. Results of numerical experiments are presented that successfully validate the proposed control framework.

93E20 Optimal stochastic control
60G50 Sums of independent random variables; random walks
34K99 Functional-differential equations (including equations with delayed, advanced or state-dependent argument)
60J27 Continuous-time Markov processes on discrete state spaces
Full Text: DOI
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