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Stochastic time-optimal control problems

โœ Scribed by Zhang, W.; Elliott, D.


Book ID
114450844
Publisher
The Institution of Electrical Engineers
Year
1988
Weight
769 KB
Volume
135
Category
Article
ISSN
0143-7054

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Stochastic optimal control problems unde
โœ Defei Zhang ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 139 KB

## SUMMARY Peng first introduced the notion of Gโ€Brownian motion and Gโ€expectation and established the stochastic calculus with respect to Gโ€Brownian motion in 2006. In this paper, we investigate the stochastic optimal control problems under Gโ€expectation and obtain dynamic programming principle. T