Approximation of solutions of strongly nonstationary stochastic extremal problems in continuous time. I: Principles of design of algorithms

V. E. Khejsin, O. Yu. Kul'chitskij, Vladimir Katkovnik

Publication date: 1982

Published in: Automation and Remote Control (Search for Journal in Brave)

optimal filtering design algorithms stochastic extremal problems strong drift

Filtering in stochastic control theory (93E11) Stochastic programming (90C15) Stochastic approximation (62L20) Optimality conditions for problems involving randomness (49K45)

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