Deterministic Equivalent for a Continuous-Time Linear-Convex Stochastic Control Problem

We consider a finite-horizon control model with additive input. There are two convex functions which describe the running cost and the terminal cost within the system. The cost of input is proportional to the input and can take both positive and negative values. It is shown that there exists a deterministic control problem whose optimal cost is the same as the one in the stochastic control problem. The optimal policy for the stochastic problem consists of keeping the process as close to the optimal deterministic trajectory as possible

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Year of publication:	2017
Authors:	Sethi, Suresh ; Taksar, Michael I.
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Kontrolltheorie \| Control theory