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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    Title :

    Stochastic control with tracking of exogenous parameters


    Contributors:


    Publication date :

    1982-01-01


    Size :

    9 pages





    Type of media :

    Article/Chapter (Book)


    Type of material :

    Electronic Resource


    Language :

    English




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