On the adjoint equation of stochastic linear systems with small correlation times

DOI10.1016/0016-0032(80)90043-5zbMath0452.93039OpenAlexW2075691248MaRDI QIDQ1148845

Menelaos Lambiris

Publication date: 1980

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0016-0032(80)90043-5

zbMATH Keywords

maximum principle

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Optimality conditions for problems involving randomness (49K45)

Related Items

The stochastic harmonic oscillator with finite correlation times, Theory of nonlinear systems, The stochastic harmonic oscillator with linear damping

Cites Work

• On stochastic differential equations with non-white noise having small correlation times
• On the stochastic maximum principle. Fixed time of control
• Differential equations: Stability, oscillations, time lags
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