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A stochastic optimal feedback control problem with random-sized jumps

โœ Scribed by Timothy C. Brown; Diana L. Pallant


Publisher
Springer
Year
1992
Tongue
English
Weight
386 KB
Volume
2
Category
Article
ISSN
0925-4668

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A minimum principle for stochastic contr
โœ Huibert Kwakernaak ๐Ÿ“‚ Article ๐Ÿ“… 1981 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 240 KB

A minimum principle for stochastic control problems with output feedback is derived by applying Bismut's minimum principle for stochastic control problems with full information about the past to the Kushner-Stratonovitch equation describing the controlled evolution of the conditional density of the