Optimal control of Volterra type stochastic difference equations (Q1962892)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal control of Volterra type stochastic difference equations |
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Optimal control of Volterra type stochastic difference equations (English)
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20 January 2000
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The optimal control problem described by a second-kind Volterra type stochastic difference equation and a quadratic cost functional is studied. First, the existence of a solution to the formulated problem is proven. Then, the form of the optimal solution is shown. The theoretical results are illustrated by two examples.
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stochastic optimal control
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second-kind Volterra stochastic difference equation
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existence
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