scientific article; zbMATH DE number 3696203

MaRDI QIDQ3889863zbMATH OpenFDO

Authors N. U. Ahmed

Publication date 1979

zbMATH Keywords

Girsanov measure transformationoptimal control of stochastic systemsseparation principlestochastic functional differential equations

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Existence of optimal solutions to problems involving randomness (49J55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25) Optimal stochastic control (93E20)

Cited in

(4)

• Nonlinear filtering of systems governed by Ito differential equations with jump parameters
• Stabilizabiltty of certain stochastic systems
• Feedback stabilizability of non-linear stochastic systems with state-dependent noise
• Computation of suboptimal randomized strategies for steering the random motion of a point under partial observation

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