Improvement of stochastic neighbouring-optimal control using nonlinear Gaussian white noise terms in the Taylor expansions

DOI10.1016/0016-0032(96)00036-1zbMath0887.93073OpenAlexW1965283851MaRDI QIDQ1366519

Guy Jumaric

Publication date: 1 June 1998

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

Full work available at URL: https://doi.org/10.1016/0016-0032(96)00036-1

zbMATH Keywords

stochastic optimal controlnonlinear stochastic systemsmoment equationsFokker-Planck-Kolmogorov equationlarge noisepowers of Gaussian white noise

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites Work

• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• Stochastic models, estimation, and control. Vol. 2,3
• A practical variational approach to stochastic optimal control via state moment equations
• Oscillators submitted to squared Gaussian processes
• Optimal Discounted Stochastic Control for Diffusion Processes
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