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Linear square optimal control problem for stochastic difference equations with unknown parameters

โœ Scribed by R.P. Agarwal; L.E. Shaikhet

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
435 KB
Volume
25
Category
Article
ISSN
0895-7177

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โœฆ Synopsis

The problems of stability and optimal control for stochastic difference equations are receiving important attention now (see, for example, [l-3]). In this paper, the optimal control in final form is obtained for optimal control problem of stochastic linear difference equation with unknown parameters and square cost functional. For stochastic functional differential equations, analogous result are obtained in [4].

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