TY - JOUR
N2 - A boundary value problem for a non-linear difference equation of order three is considered. We show that this equation can be interpreted as the equation satisfied by the value function in a stochastic optimal control problem. We thus obtain an expression for the solution of the non-linear difference equation that can be used to find an explicit solution to this equation. An example is presented.
L1 - http://sd.czasopisma.pan.pl/Content/130019/art06_int.pdf
L2 - http://sd.czasopisma.pan.pl/Content/130019
PY - 2023
IS - No 4
EP - 837
DO - 10.24425/acs.2023.148883
KW - higher-order difference equations
KW - optimal control
KW - dynamic programming
KW - first-passage time
KW - homing problem
A1 - Lefebvre, Mario
PB - Committee of Automatic Control and Robotics PAS
VL - vol. 33
DA - 2024.01.12
T1 - A boundary value problem for a non-linear difference equation
SP - 829
UR - http://sd.czasopisma.pan.pl/dlibra/publication/edition/130019
T2 - Archives of Control Sciences
ER -