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
1982-01-01
9 pages
Article/Chapter (Book)
Electronic Resource
English
Stochastic dynamic system suboptimal control with uncertain parameters
Tema Archive | 1985
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