Dynamic programming method in control problem for diffusion processes with possible trajectory cut-off with incomplete state information

MaRDI QIDQ2457074zbMATH OpenFDO

Authors Yanyan Li

Publication date 30 October 2007

Published in Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited in

(3)

• Conditions of global optimality of control strategies for diffusion processes with possible trajectory cut-off when the state information is incomplete
• The technique for accurate and approximate synthesis of optimal continuous-time stochastic control systems
• On the dynamic programming principle for controlled diffusion processes in a cylindrical region

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