Abstract This paper concerns a control problem in which a system represented by a stochastic differential equation is to be steered so as to follow a similar system the whereabouts of which is known only through noisy observations. It is shown that an optimal control exists and that this control depends in a Markovian fashion on the state of the controlled system and on the conditional distribution of the position of the target system.
Stochastic control with tracking of exogenous parameters
01.01.1982
9 pages
Aufsatz/Kapitel (Buch)
Elektronische Ressource
Englisch
Stochastic dynamic system suboptimal control with uncertain parameters
Tema Archiv | 1985
|