A direct method for solving stochastic control problems

DOI10.4310/CIS.2012.V12.N1.A1zbMATH Open1266.93165MaRDI QIDQ352250FDOQ352250

Authors: T. E. Duncan, B. Pasik-Duncan 

Publication date: 4 July 2013

Published in: Communications in Information and Systems (Search for Journal in Brave)

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zbMATH Keywords

Brownian motionlinear-quadratic control problemstochastic control problemsexplicit optimal controlslinear exponential quadratic Gaussian control problem

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Least squares and related methods for stochastic control systems (93E24)

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• Direct solution to the general reduced-order stochastic observation problem
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