Optimal control in diffusion stochastic nonlinear functional-differential ITO equations with Markov parameters and external Markov switching

DOI10.1007/s10559-016-9844-zzbMath1348.93284OpenAlexW2405341423MaRDI QIDQ334251

Mohammad Hasan, M. Dambrine

Publication date: 1 November 2016

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

Full work available at URL: https://doi.org/10.1007/s10559-016-9844-z

zbMATH Keywords

Markov perturbationstochastic dynamic systemsystem with aftereffect

Mathematics Subject Classification ID

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

Cites Work

• Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure
• Stochastic stability and control
• Optimization of Nonstationary Thermal Displacements in a Given Cross Section of a Half Space in the Plane Strain State
• BOUNDARY THEORY OF MARKOV PROCESSES (THE DISCRETE CASE)
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal control in diffusion stochastic nonlinear functional-differential ITO equations with Markov parameters and external Markov switching