Proper representation and optimal control of a non-linear stochastic system

DOI10.1080/00207727908941570zbMath0405.93045OpenAlexW2079705443MaRDI QIDQ4191939

Menahem Friedman, Yaakov Yavin

Publication date: 1979

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207727908941570

zbMATH Keywords

Poisson ProcessNecessary ConditionsNumerical MethodWiener ProcessesDiscontinuous Sample PathsNon-Linear Partial Integro-Differential EquationsOptimal Control of a Stochastic System

Mathematics Subject Classification ID

Related Items (1)

On the numerical solution of two coupled nonlinear partial integro- differential equations related to the optimal control of a nonlinear noisy oscillator

Cites Work

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• Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances
• Estimation and decision for observations derived from martingales: Part I, Representations
• Suboptimal controls of a second-order system subjected to discontinuous random perturbations
• Optimal feedback control of a class of stochastic systems permitting jumps in the diffusion processes
• Optimal Control of Jump Processes

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