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Function space approach to a class of stochastic optimal control problems

โœ Scribed by J. Y. S. Luh; M. P. Lukas


Publisher
Springer
Year
1970
Tongue
English
Weight
782 KB
Volume
5
Category
Article
ISSN
0022-3239

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๐Ÿ“œ SIMILAR VOLUMES


Solution to a class of stochastic LQ pro
โœ D.V. Iourtchenko ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 824 KB

A new approach for finding an exact analytical solution to the modified Hamilton-Jacobi-Bellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in m