On stochastic bang bang control

DOI10.1007/BF01442885zbMath0425.49015OpenAlexW4248302537MaRDI QIDQ1135513

A. V. Balakrishnan

Publication date: 1980

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01442885

zbMATH Keywords

stochastic bang bang control

Mathematics Subject Classification ID

Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (12)

Optimal control for a class of partially observable systems^† ⋮ An adaptive strong order 1 method for SDEs with discontinuous drift coefficient ⋮ The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate ⋮ Linear-quadratic optimal control for discrete-time stochastic descriptor systems ⋮ Stabilization of a class of stochastic nonlinear systems using a bang‐bang controller ⋮ Optimal control for uncertain random continuous-time systems ⋮ UNCERTAIN BANG-BANG CONTROL FOR CONTINUOUS TIME MODEL ⋮ Filtering of absorbing and reflecting Brownian motions ⋮ On asymmetric stochastic bang-bang control† ⋮ On Benes' bang-bang control problem ⋮ Optimal control in unobservable integral Volterra systems ⋮ Optimal control for multi-stage and continuous-time linear singular systems

Cites Work

• A comparison theorem for solutions of stochastic differential equations and its applications

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