Linear stochastic singular control problems
โ Scribed by Yu-Chi Ho
- Publisher
- Springer
- Year
- 1972
- Tongue
- English
- Weight
- 403 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0022-3239
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We formulate a class of singular stochastic control problem with recursive utility where the cost function is determined by a backward stochastic di erential equation. Some characteristics of the value function of the control problem are obtained by the method of approximation via penalization, and
In this paper, optimal control for stochastic linear singular system with quadratic performance is obtained using neural networks. The goal is to provide optimal control with reduced calculus effort by comparing the solutions of the matrix Riccati differential equation (MRDE) obtained from well know
the group inverse, an explicit solution to a symmetric singular system is described. The general explicit solution is derived when the symmetric singular system satisfies the regularity condition. Certain special properties of these singular systems are presented. Finally, a symmetric balanced real