A partial history of the early development of continuous-time nonlinear stochastic systems theory

DOI10.1016/j.automatica.2013.10.013zbMath1364.93866OpenAlexW2053642888MaRDI QIDQ2628408

Harold J. Kushner

Publication date: 2 June 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2013.10.013

zbMATH Keywords

stochastic optimal controlnonlinear filteringergodic controlstochastic maximum principlestochastic stabilityviscosity solutionsexistence of optimal controlsdynamic programming principlecompactness methodsNisio semigroupapproximations to systemsexistence under partial observationsfiltering and control with wide bandwidth noisewide bandwidth noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Dynamic programming in optimal control and differential games (49L20) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Stochastic stability in control theory (93E15) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (10)

Lyapunov theorems for stability and semistability of discrete-time stochastic systems ⋮ Robustness to Incorrect Priors and Controlled Filter Stability in Partially Observed Stochastic Control ⋮ A survey of numerical solutions for stochastic control problems: some recent progress ⋮ A decoupled approach to filter design for stochastic systems ⋮ Continuity of cost in Borkar control topology and implications on discrete space and time approximations for controlled diffusions under several criteria ⋮ Sequential stochastic control (single or multi-agent) problems nearly admit change of measures with independent measurement ⋮ Almost Sure Exponential Stability of Large-Scale Stochastic Nonlinear Systems ⋮ Stability analysis for stochastic hybrid systems: a survey ⋮ Adaptive NN output-feedback control for stochastic time-delay nonlinear systems with unknown control coefficients and perturbations ⋮ Ambiguity tube MPC

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