Modeling and Approximations for Stochastic Systems with State-Dependent Singular Controls and Wide-Band Noise

DOI10.1137/120899340zbMath1292.93152OpenAlexW2055937947MaRDI QIDQ5494878

Harold J. Kushner

Publication date: 30 July 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/20b71bbc1696b0722effebd1bfabf83555f3794c

zbMATH Keywords

singular stochastic controloptimal stochastic controlapproximation of stochastic systemswide-band noise driven systems

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20) Functional limit theorems; invariance principles (60F17) Stochastic integral equations (60H20)

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