scientific article; zbMATH DE number 16572

MaRDI QIDQ3973256zbMATH OpenFDO

Authors G. G. Il'In

Publication date 26 June 1992

zbMATH Keywords

controlled stochastic processexampleIto-Volterra representation

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20)

Review text

[For the entire collection see Zbl 0702.00007.] The author considers a controlled stochastic process \(y(t)\), \(t\geq 0\) admitting an Ito-Volterra representation and containing additionally some unknown parameters. It is shown how to choose bounded estimators of the unknown parameters and then construct strategies which stabilize uniformly the process \(y(t)\) as \(t\to\infty\) in the sense that \(\lim_{T\to\infty}(1/T)E\left\{\int^ T_ 0| y(t)|^ 2dt\right\}\leq c\), where \(c\)=const. An illustrative example is given.

Recommendations

• Adaptive optimal strategies in controlled Markov processes
• scientific article; zbMATH DE number 778102
• scientific article; zbMATH DE number 4187639
• scientific article; zbMATH DE number 3902531
• scientific article; zbMATH DE number 4137640

Cited in

(3)

• Adaptive strategies and regret minimization in arbitrarily varying Markov environments
• scientific article; zbMATH DE number 3902531 (Why is no real title available?)
• Adaptive Strategies for Certain Classes of Controlled Markov Processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3973256)