Optimal control in diffusion stochastic nonlinear functional-differential ITO equations with Markov parameters and external Markov switching

DOI10.1007/S10559-016-9844-ZzbMATH Open1348.93284OpenAlexW2405341423MaRDI QIDQ334251FDOQ334251

Authors: V. K. Yasins'kyj, B. W. Savchuk, S. M. Kozyr 

Publication date: 1 November 2016

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-016-9844-z

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zbMATH Keywords

Markov perturbationstochastic dynamic systemsystem with aftereffect

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Cites Work

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• Stochastic stability and control
• BOUNDARY THEORY OF MARKOV PROCESSES (THE DISCRETE CASE)
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• Optimization of transient temperature displacements in given cross-section of a half-space in plane strain state
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• Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure

Cited In (4)

• Stabilization of nonlinear diffusion Itô processes with Markov switchings
• Stability and Optimal Control of Stochastic Functional-Differential Equations With Memory
• On asymptotic behaviour of solutions of systems of stochastic differential difference equations with Markov parameters
• Stability of diffusion stochastic functional differential equations with Markov parameters

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