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

zbMath0515.93076MaRDI QIDQ1052297

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

Publication date: 1982

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

zbMATH Keywords

optimal filtering; design algorithms; stochastic extremal problems; strong drift

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

90C15: Stochastic programming

62L20: Stochastic approximation

49K45: Optimality conditions for problems involving randomness