\(S\)-procedure and duality for nonlinear stochastic problems

zbMath0887.60066MaRDI QIDQ1373607

Nikolai G. Dokuchaev

Publication date: 23 April 1998

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

zbMATH Keywords

control problemsdual minimax problemlinearly quadratic problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (1)

Theory of optimal control in the works of V.A. Yakubovich

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