A Stochastic Optimal Control Technique for Models with Estimated Coefficients

DOI10.2307/1912689zbMath0411.93040OpenAlexW2011041253MaRDI QIDQ4198423

Arthur Havenner, Roger Craine

Publication date: 1977

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912689

zbMATH Keywords

stochastic optimal controlestimated coefficientsoptimal linear- quadratic control problem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

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