The certainty equivalence property in stochastic control theory

DOI10.1109/TAC.1981.1102781zbMath0473.93076OpenAlexW2136635985MaRDI QIDQ3929651

Jan C. Willems, Henk van de Water

Publication date: 1981

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1981.1102781

zbMATH Keywords

stochastic controlconditional expectationcertainty equivalence

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)

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