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Maximum principle for the stochastic optimal control problem with delay and application

โœ Scribed by Li Chen; Zhen Wu


Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
421 KB
Volume
46
Category
Article
ISSN
0005-1098

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ฯต-Optimal and Optimal Controls for the S
โœ C. Tudor ๐Ÿ“‚ Article ๐Ÿ“… 1990 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 505 KB

Abstreot. We study the stochastic regulator problem in HILBERT spaces for systems governed by linear stochastic differential equations with retarded controls and with state and control dependent noise. We use integral RICCATI equations and no reference to a RICCATI differential equation or to the IT