Optimal control of stochastic dynamic systems with past history and Poisson switchings

DOI10.1007/S10559-005-0027-6zbMath1091.93044OpenAlexW1981909346MaRDI QIDQ2571528

Svitlana V. Antonyuk, V. K. Yasinskij, Vladimir S. Korolyuk

Publication date: 11 November 2005

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-005-0027-6

zbMATH Keywords

optimal controlPoisson switchingsstochastic dynamic systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

• The Kalman-Bucy filter for linear stochastic dynamic systems with discontinuous trajectories
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