On the Solutions of a Stochastic Control System

DOI10.1137/0309026zbMATH Open0204.47303OpenAlexW2140275726MaRDI QIDQ5604149FDOQ5604149

Authors: T. Duncan, Pravin Varaiya 

Publication date: 1971

Published in: SIAM Journal on Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1808/16692

Cited In (23)

• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries
• A stochastic flows approach for asset allocation with hidden economic environment
• Robust stochastic maximum principle for multi-model worst case optimization
• On Borkar and Young relaxed control topologies and continuous dependence of invariant measures on control policy
• Existence of optimal stochastic controls under partial observation
• Adaptive control of linear delay time systems^*
• Existence of optimal martingales
• Setwise convergence of solution measures of stochastic differential equations
• Control: a perspective
• Controlling the solution of stochastic differential equations on a plane with additive fractional Brownian motion
• On the optimal control of stochastic systems with an exponential-of- integral performance index
• Robust optimal control for minimax stochastic linear quadratic problem
• Pathwise smoothing of Markov processes with noisy observations
• Simultaneous moving horizon estimation and control for nonlinear systems subject to bounded disturbances
• Finite-dimensional attainable sets for stochastic control systems
• Robust output stabilization for a class of nonlinear uncertain stochastic systems under multiplicative and additive noises: the attractive ellipsoid method
• Nonlinear semigroups and a characterization of the value process in stochastic control
• On the existence of an optimal feedback control for stochastic systems
• Martingale approach to stochastic differential games of control and stopping
• Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
• Encounters with Martingales in Stochastic Control
• Optimal stochastic control without convexity conditions in the dynamical equation

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