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.


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    Titel :

    Stochastic control with tracking of exogenous parameters


    Beteiligte:


    Erscheinungsdatum :

    01.01.1982


    Format / Umfang :

    9 pages





    Medientyp :

    Aufsatz/Kapitel (Buch)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch




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