Optimal control of Volterra type stochastic difference equations (Q1962892): Difference between revisions

The optimal control problem described by a second-kind Volterra type stochastic difference equation and a quadratic cost functional is studied. First, the existence of a solution to the formulated problem is proven. Then, the form of the optimal solution is shown. The theoretical results are illustrated by two examples.

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Mathematics Subject Classification ID

93E20

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stochastic optimal control

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second-kind Volterra stochastic difference equation

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existence

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reviewed by

Ryszard Gessing

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MaRDI profile type

MaRDI publication profile

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cites work

Q4868382

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Riccati equations in the stability of retarded stochastic linear systems

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Q3682369

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On the optimal control of integral-functional equations

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Q3731503

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Q3798575

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Q4872199

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Optimal control problem for nonlinear stochastic difference second kind Volterra equations

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Q4043865

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Sitelinks

Mathematics(1 entry)

mardi Publication:1962892

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+Leonid Shaikhet
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+Ryszard Gessing
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+MaRDI publication profile
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+Q4868382
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+Normal rank
@@ Property / cites work @@
+Riccati equations in the stability of retarded stochastic linear systems
+Normal rank
@@ Property / cites work @@
+Q3682369
@@ Property / cites work: Q3682369 / rank @@
+Normal rank
@@ Property / cites work @@
+On the optimal control of integral-functional equations
+Normal rank
@@ Property / cites work @@
+Q3731503
@@ Property / cites work: Q3731503 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3798575
@@ Property / cites work: Q3798575 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4872199
@@ Property / cites work: Q4872199 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control problem for nonlinear stochastic difference second kind Volterra equations
+Normal rank
@@ Property / cites work @@
+Q4043865
@@ Property / cites work: Q4043865 / rank @@
+Normal rank