Optimal control problem of stochastic systems

DOI10.1134/S1995080221030215zbMath1464.49012OpenAlexW3159017068MaRDI QIDQ2026686

G. K. Vassilina

Publication date: 20 May 2021

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080221030215

zbMATH Keywords

optimal controlfeedbackWiener processRiccati equationstochastic systemBellman function

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Dynamic programming (90C39) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

Pursuit-evasion differential games with Gr-constraints on controls ⋮ Differential game: ``Life line for non-stationary geometric constraints on controls ⋮ Differential game with “lifeline” for Pontryagin's control example

Cites Work

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• Generalized differential Riccati equation and indefinite stochastic LQ control with cross term
• Nonlinear optimal control of thermal processes in a nonlinear inverse problem
• On a Matrix Riccati Equation of Stochastic Control
• Optimal Stationary Control of a Linear System with State-Dependent Noise
• Stochastic linear quadratic optimal control problems

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