Optimal control of stochastic difference Volterra equations. An introduction (Q487294)

This monograph deals with the optimal control of stochastic systems driven by discrete Volterra equations. This topic is of interest as far as the practical implementation of any control systems works necessarily via a discrete modeling. As it is customary, the functional to be optimized is the mathematical expectation of an integral, but here the mathematical machinery involves the Gâteaux derivative. Once the problem and its theoretical solution are displayed, one considers its practical implementation and to this end one uses an approach via successive approximations. A chapter is dedicated to optimal and quasi-optimal stabilization. Then a room of importance is filled in with optimal estimation and optimal control in the presence of incomplete information. The book is quite suitable for a course in graduate studies.