Optimal control of discrete time stochastic systems

MaRDI QIDQ1224035zbMATH OpenFDO

Authors Charlotte Striebel

Publication date 1975

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Stochastic systems and control (93E99)

Cited in

(6)

• Decentralized optimality conditions of stochastic differential decision problems via Girsanov's measure transformation
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Local optimality conditions for optimal stopping
• Convergence of probability measures and Markov decision models with incomplete information
• Partially observable Markov decision processes with partially observable random discount factors
• Application of Jensen's inequality to adaptive suboptimal design

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