Managerial Planning: An Optimum and Stochastic Control Approach - Tapiero, Ch.S.
A. Kalliauer (1980)
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Displaying similar documents to “Deterministic and Stochastic Optimal Control - Fleming, W.H.; Rishel, R.W.”
Managerial Planning: An Optimum and Stochastic Control Approach - Tapiero, Ch.S.
ABSTRACT - Asymptotically Optimal Desings for Approximating the Path of a Stochastic Process with Respect to the L ...-Norm
Thomas Müller-Gronbach (1995)
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A Unified Approach to Optimal Process Control.
E. von CollanI (1988)
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Introduction to Stochastic Differential Equations - T. C. Gard.
L. Arnold (1989)
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On a Linear Stochastic Differential Equation
S.K. Nasr (1970)
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Stochastic Duels with Correlated Fire.
N. Bhashyam (1973)
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Stochastic Analysis - M. C. Cranston; M. A. Pinsky.
H. Heyer (1998)
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Statistics and control of stochastic processes. Proceedings of the Steklov Seminar 1984 - N. V. Krylov, R. S. Liptser and A A. Novikov.
J. Jacod (1987)
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Real and stochastic analysis - M. M. Rao.
H. Heyer (1987)
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On the Linear Combinations of Stochastic Variables.
R.K. Saxena, A.M. Mathai (1973)
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Introduction to Stochastic Integration - Chung, K.L.; Williams, R.J.
M. Metivier (1985)
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Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
Jianhui Huang, Jingtao Shi (2012)
ESAIM: Control, Optimisation and Calculus of Variations
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This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the necessary and sufficient conditions of optimality are proved. As illustrating examples, two kinds of linear...
Partially observed optimal controls of forward-backward doubly stochastic systems
Yufeng Shi, Qingfeng Zhu (2013)
ESAIM: Control, Optimisation and Calculus of Variations
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The partially observed optimal control problem is considered for forward-backward doubly stochastic systems with controls entering into the diffusion and the observation. The maximum principle is proven for the partially observable optimal control problems. A probabilistic approach is used, and the adjoint processes are characterized as solutions of related forward-backward doubly stochastic differential equations in finite-dimensional spaces. Then, our theoretical result is applied...
Economically Optimal c- and np-Control Charts.
E. von Collani (1989)
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Maximum principle for forward-backward doubly stochastic control systems and applications
Liangquan Zhang, Yufeng Shi (2011)
ESAIM: Control, Optimisation and Calculus of Variations
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The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short)....