SFB 303 Discussion Paper No. B - 100

Author: Christopeit, Norbert, and Kurt Helmes
Title: On Stochastic 'Bang-Bang' Control for Linear Diffusions with Point Process Observations
Abstract: In this paper control of a linear stochastic plant is considered with observations given in form of a point process whose intensity is influenced by the state of the plant. The objective is to steer the system in such a way that the state at a given time T is as close as possible to a prescribed hyperplane. It is shown that in the class of controls which take values in the unit cube and depend only on the past observations, the optimal control is 'full bang to reduce predicted miss'. The analysis also shows that for such problems the separation and certainty equivalence principles hold.
Creation-Date: September 1988
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