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Optimal control in wide-sense stationary continuous-time stochastic models

โœ Scribed by A.R. Bergstrom

Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
822 KB
Volume
11
Category
Article
ISSN
0165-1889

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โœฆ Synopsis

This paper provides a rigorous treatment of the optimal control problem for a continuous-time stochastic model, with an infinite-horizon quadratic cost function, under weaker assumptions concerning the white-noise innovations than have been made in the literature on this subject. Since it is not assumed that the innovations are generated by Brownian motion, or even that the sample paths of the state variables are integrable, the Ito calculus is inapplicable. The solution depends on a more recently developed theory of stochastic differential equations, based on random measure theory, and on the ergodic theorem for a wide-sense stationary process.

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