Discrete Approximation of Continuous Time Stochastic Control Systems

DOI10.1137/0321002MaRDI QIDQ4748033zbMATH OpenOpenAlexFDO

Authors Norbert Christopeit

Publication date 1983

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0321002

zbMATH Keywords

discrete approximationstochastic difference equationsweak convergence

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Stochastic analysis (60H99) Probabilistic methods, stochastic differential equations (65C99) Dynamic programming (90C39) Discrete-time control/observation systems (93C55) Model systems in control theory (93C99) Optimal stochastic control (93E20)

Cited in

(8)

• Nonlinear filtering for image restoration
• Sensitivity analysis of linear continuous-time feedback systems subject to control and measurement noise: an information-theoretic approach
• A stability theorem for stochastic differential equations and application to stochastic control problems
• Discrete approximation of nonlinear filtering for stochastic delay equations
• scientific article; zbMATH DE number 1014727 (Why is no real title available?)
• scientific article; zbMATH DE number 1014735 (Why is no real title available?)
• On the time discretization of stochastic optimal control problems: the dynamic programming approach
• WEAK CONVERGENCE OF NONLINEAR TRANSFORMATIONS OF INTEGRATED PROCESSES: THE MULTIVARIATE CASE

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