Modeling and Approximations for Stochastic Systems with State-Dependent Singular Controls and Wide-Band Noise

DOI10.1137/120899340MaRDI QIDQ5494878zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 30 July 2014

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/20b71bbc1696b0722effebd1bfabf83555f3794c

zbMATH Keywords

approximation of stochastic systemsoptimal stochastic controlsingular stochastic controlwide-band noise driven systems

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic integral equations (60H20) Sensitivity (robustness) (93B35) Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20)

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Cited in

(4)

• Linear filtering for wide band noise driven observation systems
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• Nearly Optimal Impulsive Controls for Reflected Wideband Width Process
• Invariant Kalman filter for correlated wide band noises

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