Dynamic restoration of the unknown function in the linear stochastic differential equation

DOI10.1134/S0005117907110069zbMath1146.93383OpenAlexW2052910686WikidataQ113079822 ScholiaQ113079822MaRDI QIDQ927587

V. L. Rozenberg

Publication date: 9 June 2008

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117907110069

zbMATH Keywords

inverse problemsoptimal portfolio selectionstochastic differential equation with diffusion

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Control/observation systems governed by ordinary differential equations (93C15) Inverse problems in optimal control (49N45)

Related Items (13)

Reconstruction of external actions under incomplete information in a linear stochastic equation ⋮ One dynamical input reconstruction problem: tuning of solving algorithm via numerical experiments ⋮ On a problem of dynamical input reconstruction for a system of special type under conditions of uncertainty ⋮ Reconstruction of random-disturbance amplitude in linear stochastic equations from measurements of some of the coordinates ⋮ Method of dummy measurements for multiple model estimation of processes in a linear stochastic system ⋮ A control problem under incomplete information for a linear stochastic differential equation ⋮ A guaranteed control problem for a linear stochastic differential equation ⋮ An approach to solving input reconstruction problems in stochastic differential equations: dynamic algorithms and tuning their parameters ⋮ Dynamic reconstruction of disturbances in a quasilinear stochastic differential equation ⋮ On a problem of perturbation restoration in stochastic differential equation ⋮ Problem of reconstructing a disturbance in a linear stochastic equation: the case of incomplete information ⋮ Algorithm for the continuous estimation of a disturbance in a stochastic differential equation ⋮ Reconstruction problem with incomplete information for a quasilinear stochastic differential equation

Cites Work

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