Local solutions to the Hamilton-Jacobi-Bellman equation in stochastic problems of optimal control

DOI10.1134/S1064562406040363zbMath1139.49024MaRDI QIDQ2477478

Daniil V. Iourtchenko, Alexander S. Bratus', José Luis Menaldi

Publication date: 13 March 2008

Published in: Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

linear stochastic systemsCauchy problem for the Mayer probleminapplicable controls

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20)

Related Items (2)

Solution to a class of stochastic LQ problems with bounded control ⋮ On the LQG theory with bounded control

Uses Software

• QDES

Cites Work

• Optimal Bounded Response Control for a Second-Order System Under a White-Noise Excitation
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