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

zbMATH Open0515.93076MaRDI QIDQ1052297FDOQ1052297

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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