Abstract
The optimal tracking problem of the probability density function of a stochastic process can be expressed in terms of an optimal bilinear control problem for the Fokker-Planck equation, with the control in the coefficient of the divergence term. We analyze the case of time and space dependent controls. In order to deduce existence of nonnegative solutions for the state equation we require suitable integrability assumptions on the coefficients of the Fokker-Planck equation and thus on the control function. Furthermore, we establish the existence of optimal controls and we derive the associated first order necessary optimality conditions.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
