Dynamic restoration of the unknown function in the linear stochastic differential equation

DOI10.1134/S0005117907110069MaRDI QIDQ927587zbMATH OpenOpenAlexWikidataFDO

Authors V. L. Rozenberg

Publication date 9 June 2008

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117907110069

zbMATH Keywords

inverse problemsoptimal portfolio selectionstochastic differential equation with diffusion

Mathematics Subject Classification ID

Inverse problems in optimal control (49N45) Financial applications of other theories (91G80) Control/observation systems governed by ordinary differential equations (93C15) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cited in

(14)

• Reconstruction problem with incomplete information for a quasilinear stochastic differential equation
• Dynamic reconstruction of disturbances in a quasilinear stochastic differential equation
• Second order approximation to stochastic differential equations for backward processes and Gaussian distributions
• Reconstruction of external actions under incomplete information in a linear stochastic equation
• Reconstruction of random-disturbance amplitude in linear stochastic equations from measurements of some of the coordinates
• Algorithm for the continuous estimation of a disturbance in a stochastic differential equation
• Method of dummy measurements for multiple model estimation of processes in a linear stochastic system
• On a problem of perturbation restoration in stochastic differential equation
• Problem of reconstructing a disturbance in a linear stochastic equation: the case of incomplete information
• A guaranteed control problem for a linear stochastic differential equation
• An approach to solving input reconstruction problems in stochastic differential equations: dynamic algorithms and tuning their parameters
• One dynamical input reconstruction problem: tuning of solving algorithm via numerical experiments
• A control problem under incomplete information for a linear stochastic differential equation
• On a problem of dynamical input reconstruction for a system of special type under conditions of uncertainty

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