Proper representation and optimal control of a non-linear stochastic system

DOI10.1080/00207727908941570MaRDI QIDQ4186908zbMATH OpenOpenAlexFDO

Authors Y. Yavin

Publication date 1979

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207727908941570

zbMATH Keywords

Markov ProcessGirsanov-Type TransformationNonlinear Partial Integro-Differential EquationsNonlinear Stochastic System

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on general state spaces (60J25) Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10)

Cites work

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances
• Estimation and decision for observations derived from martingales: Part I, Representations
• Optimal Control of Jump Processes
• Optimal feedback control of a class of stochastic systems permitting jumps in the diffusion processes
• Suboptimal controls of a second-order system subjected to discontinuous random perturbations

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