Optimal control of a finite dam: Wiener process input. (English) Zbl 0617.93078

Lam Yeh; Lou Jiann Hua

J. Appl. Probab. 24, 186-189 (1987).

The authors consider two problems for the stochastic optimal control of a finite dam where the water input is Brownian motion plus a constant drift. The two problems are to minimize the expected total discounted cost and to minimize the long-run average cost. These two costs are given explicitly though the optimal policies are not found explicitly.

Reviewer: T.Duncan

MSC:

93E20	Optimal stochastic control
60J65	Brownian motion
49J55	Existence of optimal solutions to problems involving randomness
93C95	Application models in control theory

Keywords:

Wiener process; stochastic optimal control; finite dam; expected total discounted cost; long-run average cost