Stochastic Optimal Control

Alain Bensoussan

doi:10.1007/978-3-319-75456-7_11

Stochastic Optimal Control

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Abstract

We consider We consider a probability space Ω, A, P equipped with a filtration F ^t and a standard P, F ^t Wiener process with values in R ^k .
g(x, v) : Rⁿ × Rm → Rⁿ,
σ((x, v) : R^m × Rⁿ→ L(R^k ; Rⁿ),
g, σ are continuously differentiable and have
bounded derivatives,

|g(x, v)| ≤ ḡ(1 + |x|+|v|),
|σ (x, v)| ≤ ¯σ (1 + |x|+|v|).

Original language	English
Title of host publication	Estimation and Control of Dynamical Systems
Publisher	Springer
Chapter	11
Pages	249-317
ISBN (Electronic)	9783319754567
ISBN (Print)	9783319754550
DOIs	https://doi.org/10.1007/978-3-319-75456-7_11
Publication status	Published - 2018

Publication series

Name	Interdisciplinary Applied Mathematics
Publisher	Springer
Volume	48
ISSN (Print)	0939-6047
ISSN (Electronic)	2196-9973

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title = "Stochastic Optimal Control",

abstract = "We consider We consider a probability space Ω, A, P equipped with a filtration F t and a standard P, F t Wiener process with values in R k .g(x, v) : Rn × Rm → Rn,σ((x, v) : Rm × Rn→ L(Rk ; Rn),g, σ are continuously differentiable and havebounded derivatives,|g(x, v)| ≤ ḡ(1 + |x|+|v|),|σ (x, v)| ≤ ¯σ (1 + |x|+|v|).",

author = "Alain Bensoussan",

year = "2018",

doi = "10.1007/978-3-319-75456-7_11",

language = "English",

isbn = "9783319754550",

series = "Interdisciplinary Applied Mathematics",

publisher = "Springer ",

pages = "249--317",

booktitle = "Estimation and Control of Dynamical Systems",

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TY - CHAP

T1 - Stochastic Optimal Control

AU - Bensoussan, Alain

PY - 2018

Y1 - 2018

N2 - We consider We consider a probability space Ω, A, P equipped with a filtration F t and a standard P, F t Wiener process with values in R k .g(x, v) : Rn × Rm → Rn,σ((x, v) : Rm × Rn→ L(Rk ; Rn),g, σ are continuously differentiable and havebounded derivatives,|g(x, v)| ≤ ḡ(1 + |x|+|v|),|σ (x, v)| ≤ ¯σ (1 + |x|+|v|).

AB - We consider We consider a probability space Ω, A, P equipped with a filtration F t and a standard P, F t Wiener process with values in R k .g(x, v) : Rn × Rm → Rn,σ((x, v) : Rm × Rn→ L(Rk ; Rn),g, σ are continuously differentiable and havebounded derivatives,|g(x, v)| ≤ ḡ(1 + |x|+|v|),|σ (x, v)| ≤ ¯σ (1 + |x|+|v|).

U2 - 10.1007/978-3-319-75456-7_11

DO - 10.1007/978-3-319-75456-7_11

M3 - Chapter in research book/monograph/textbook (Author)

SN - 9783319754550

T3 - Interdisciplinary Applied Mathematics

SP - 249

EP - 317

BT - Estimation and Control of Dynamical Systems

PB - Springer

ER -

Stochastic Optimal Control

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