Optimal control of observations in the filtering of diffusion processes. II (Q1071726): Difference between revisions
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Revision as of 21:22, 11 February 2024
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| English | Optimal control of observations in the filtering of diffusion processes. II |
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Optimal control of observations in the filtering of diffusion processes. II (English)
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1985
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[For part I, see the author, Autom. Remote Control 46, 207-214 (1985; Zbl 0574.93072).] - The author considers the control of a stochastic system whose input is the sum of a continuous and a jump stochastic process. The optimality condition is expressed as a generalized maximum principle. Examples are given where the maximum principle is a sufficient condition for optimality.
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generalized maximum principle
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