Approximation of solutions of strongly nonstationary stochastic extremal problems in continuous time. I: Principles of design of algorithms

MaRDI QIDQ1052297zbMATHFDO

Authors O. Yu. Kul'chitskij, V. E. Khejsin, V. Katkovnik

Publication date 1982

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

zbMATH Keywords

design algorithmsoptimal filteringstochastic extremal problemsstrong drift

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic approximation (62L20) Stochastic programming (90C15) Optimality conditions for problems involving randomness (49K45)

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