A note on the structure of optimal stochastic controls

DOI10.1007/BF01449025zbMath0307.93047OpenAlexW4252573634MaRDI QIDQ1218388

A. V. Balakrishnan

Publication date: 1974

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01449025

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Related Items (1)

On the separation principle with bounded controls

Cites Work

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• Stochastic differential equations for the non linear filtering problem
• Stochastic differential systems. I: Filtering and control. A function space approach
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

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