Time discretization of a setvalued stochastic dynamic system

DOI10.1080/02331939508844158zbMath0877.93134OpenAlexW2008283401MaRDI QIDQ4351197

Hagen Fritsch

Publication date: 20 November 1997

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331939508844158

zbMATH Keywords

optimal controlstochastic differential inclusiontime discretization

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

• A maximum principle for stochastic control systems
• Über die Ableitung von intervallwertigen Funktionen. (On the derivative of interval-valued functions)
• An Introductory Approach to Duality in Optimal Stochastic Control
• Optimal control of a setvalued stochastic dynamic system

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