MINIMAX CONTROL STRATEGY FOR SOME GAUSSIAN RANDOM ENVIRONMENTS WITH DIFFERENT VARIANCES
The problem of optimal control in a random environment with normally distributed incomes and with less than maximum variances is considered. Earlier there was obtained the optimal control strategy for a random environment with normally distributed incomes with unit variances. In this paper there was checked a hypothesis about optimality of this strategy for the whole set of these environments with different variances. The results of calculations by Monte-Carlo simulation are given.