Back to Search
Start Over
Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
- Source :
- Scopus-Elsevier
- Publication Year :
- 1985
- Publisher :
- Society for Industrial & Applied Mathematics (SIAM), 1985.
-
Abstract
- The stochastic control problem with linear stochastic differential equations driven by Brownian motion processes and as cost functional the exponential of a quadratic form is considered. The soluti...
- Subjects :
- Stochastic control
Stochastic partial differential equation
Continuous-time stochastic process
Stochastic differential equation
Geometric Brownian motion
Control and Optimization
Applied Mathematics
Mathematical analysis
Stochastic calculus
Stochastic optimization
Linear-quadratic-Gaussian control
Mathematics
Subjects
Details
- ISSN :
- 10957138 and 03630129
- Volume :
- 23
- Database :
- OpenAIRE
- Journal :
- SIAM Journal on Control and Optimization
- Accession number :
- edsair.doi.dedup.....6f88f3fae12a772d6b6d5ec77437bb94