 Award ID(s):
 1908918
 Publication Date:
 NSFPAR ID:
 10171200
 Journal Name:
 21st IFAC World Congress
 Page Range or eLocationID:
 16
 Sponsoring Org:
 National Science Foundation
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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 resolution 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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We consider optimal control of fractional in time (subdiffusive, i.e., for
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