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Optimal control by searching a two-dimensional diffusion process of special type. (English. Russian original) Zbl 0731.93068
Russ. Math. Surv. 45, No. 4, 160-162 (1990); translation from Usp. Mat. Nauk 45, No. 4(274), 169-170 (1990).
The note deals with optimal detection of a moving particle, the motion of which is described by a diffusion process. The author solves the Kolmogorov equation associated with this problem, assuming a specific form of the coefficient. A simple computational example is provided.
MSC:
93C99 Model systems in control theory
35K15 Initial value problems for second-order parabolic equations
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