Optimal control of nonlinear stochastic systems under constraints: an approximate determination method

DOI10.1023/A:1002854110800zbMath1092.93611OpenAlexW2410030506MaRDI QIDQ1778412

N. E. Rodnishchev

Publication date: 17 June 2005

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

Full work available at URL: https://doi.org/10.1023/a:1002854110800

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods based on necessary conditions (49M05) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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