Linear square optimal control problem for stochastic difference equations with unknown parameters

DOI10.1016/S0895-7177(97)00002-2MaRDI QIDQ1361210zbMATH OpenOpenAlexFDO

Authors Ravi P. Agarwal, Leonid Shaikhet

Publication date 23 July 1997

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0895-7177(97)00002-2

zbMATH Keywords

optimal stochastic controlquadratic performancelinear stochastic difference equation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3457919 (Why is no real title available?)
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• scientific article; zbMATH DE number 960196 (Why is no real title available?)
• Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations
• Optimal control problem for nonlinear stochastic difference second kind Volterra equations

Cited in

(2)

• Boundary value problems for general discrete systems on infinite intervals
• Optimal control problem for nonlinear stochastic difference second kind Volterra equations

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