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

DOI10.1080/00207179.2014.956794zbMATH Open1328.93279OpenAlexW2015919790MaRDI QIDQ5265925FDOQ5265925

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

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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)

Cites Work

• Anticipated backward stochastic differential equations
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• Maximum principle for semilinear stochastic evolution control systems
• Title not available (Why is that?)
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• Delay structure of wideband noises with application to filtering problems
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• On asymptotical behavior of solution of Riccati equation arising in linear filtering with shifted noises
• Filtering, smoothing and prediction for wide-band noise driven linear systems
• Control and filtering of wide-band noise driven linear systems
• On linear filtering under dependent wide-band noise
• Representation of systems disturbed by wide band noise
• Sufficient conditions for optimality for stochastic evolution equations
• Analyzing wide-band noise processes with application to control and filtering

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

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