Proper representation and optimal control of a non-linear stochastic system
DOI10.1080/00207727908941570zbMATH Open0402.49020OpenAlexW2079705443MaRDI QIDQ4186908FDOQ4186908
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
Markov ProcessGirsanov-Type TransformationNonlinear Partial Integro-Differential EquationsNonlinear Stochastic System
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
- Dynamic Programming and Minimum Principles for Systems with Jump Markov Disturbances
- Title not available (Why is that?)
- Optimal Control of Jump Processes
- Estimation and decision for observations derived from martingales: Part I, Representations
- 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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