%AMcEneaney, William%ADower, Peter%BJournal Name: Proceedings of the American Control Conference
%D2020%I
%JJournal Name: Proceedings of the American Control Conference
%K
%MOSTI ID: 10171194
%PMedium: X
%TConversion of a Class of Stochastic Control Problems to Fundamental-Solution Deterministic Control Problems
%XA 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.
%0Journal Article