OPTIMAL CONTROL OF RANDOM EVOLUTIONS.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)169-199
Journal / PublicationStochastics
Volume5
Issue number3
Publication statusPublished - 1981
Externally publishedYes

Link(s)

DOI

DOI
Check@CityULib
Link to Scopus https://www.scopus.com/record/display.uri?eid=2-s2.0-0019697135&origin=recordpage
Permanent Link https://scholars.cityu.edu.hk/en/publications/publication(bc77689a-d629-4812-a253-daad9b926fb9).html

Abstract

A stochastic control problem for a random evolution is considered. The Bellman equation of the problem is studied. The existence of an optimal stochastic control, which is Markovian is proved. This problem mkes it possible to approximate the general problem of the optimal control of solutions of stochastic differential equations.

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Publication fingerprints text

100
Optimal Control The... Mathematics
100
Stochastics Mathematics
100
Random Evolution Mathematics
50
Control Problems Mathematics
50
Approximates Mathematics
50
Stochastic Differen... Mathematics
50
Bellman Equation Mathematics
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Citation Format(s)

[ RIS ] [ BibTeX ]
OPTIMAL CONTROL OF RANDOM EVOLUTIONS. / Bensoussan, A.
In: Stochastics, Vol. 5, No. 3, 1981, p. 169-199.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review