Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems

DOI10.1080/00207179.2014.956794MaRDI QIDQ5265925zbMATH OpenOpenAlexFDO

Authors Agamirza Bashirov

Publication date 29 July 2015

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2014.956794

zbMATH Keywords

maximum principlewhite noisestochastic systemwide band noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)

Recommendations

• A stochastic maximum principle for general mean-field systems
• Pontryagin-type stochastic maximum principle of stochastic evolution equation with a random generator
• Stochastic maximum principle for weighted mean-field system
• Stochastic maximum principle of forward-backward stochastic pantograph systems with random jumps
• Ergodic maximum principle for stochastic systems
• scientific article; zbMATH DE number 1810498
• scientific article; zbMATH DE number 1304732
• Stochastic maximum principle for SPDEs with noise and control on the boundary
• Peng's Maximum Principle for Stochastic Partial Differential Equations
• Maximum principle for semilinear stochastic evolution systems

Cites work

• scientific article; zbMATH DE number 3181355 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• A maximum principle for optimal control of stochastic evolution equations
• Analyzing wide-band noise processes with application to control and filtering
• Anticipated backward stochastic differential equations
• Boundary value problems arising in Kalman filtering
• Control and filtering of wide-band noise driven linear systems
• Delay structure of wideband noises with application to filtering problems
• Filtering for linear systems with shifted noises
• Filtering, smoothing and prediction for wide-band noise driven linear systems
• General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions
• Maximum principle for optimal control of stochastic system of functional type
• Maximum principle for semilinear stochastic evolution control systems
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• On asymptotical behavior of solution of Riccati equation arising in linear filtering with shifted noises
• On backward stochastic evolution equations in Hilbert spaces and optimal control
• On linear filtering under dependent wide-band noise
• Partial controllability concepts
• Partial controllability of stochastic linear systems
• Representation of systems disturbed by wide band noise
• Sufficient conditions for optimality for stochastic evolution equations
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
• The second order minimum principle and adjoint process

Cited in

(3)

• Linear filtering for wide band noise driven observation systems
• Invariant Kalman filter for correlated wide band noises
• Stochastic Kolmogorov systems driven by wideband noises

This page was built for publication: Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265925)