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Title: Conversion of a Class of Stochastic Control Problems to Fundamental-Solution Deterministic Control Problems
A class of nonlinear, stochastic staticization control problems (including minimization problems with smooth, convex, coercive payoffs) driven by diffusion dynamics and constant diffusion coefficient is considered. Using dynamic programming and tools from static duality, a fundamental solution form is obtained where the same solution can be used for a variety of terminal costs without re-solution of the problem. Further, this fundamental solution takes the form of a deterministic control problem rather than a stochastic control problem.
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Proceedings of the American Control Conference
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National Science Foundation
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