Optimal preview control for a linear continuous-time stochastic control system in finite-time horizon
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Publication:2974252
DOI10.1080/00207721.2016.1160456zbMath1358.93193OpenAlexW2318728233MaRDI QIDQ2974252
Jiang Wu, Masayoshi Tomizuka, Fucheng Liao
Publication date: 6 April 2017
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207721.2016.1160456
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20)
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Cites Work
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- Design of an optimal servomechanism with preview action and its dual problem
- DESIGN OF AN OPTIMAL PREVIEW CONTROLLER FOR CONTINUOUS-TIME SYSTEMS
- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Online optimal tracking control of continuous-time linear systems with unknown dynamics by using adaptive dynamic programming
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