Some results on Bellman equations of optimal production control in a stochastic manufacturing system.
Baten, Azizul, Kamil, Anton Abdulbasah (2009)
Journal of Probability and Statistics
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Baten, Azizul, Kamil, Anton Abdulbasah (2009)
Journal of Probability and Statistics
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Bahlali, Seid, Mezerdi, Brahim (2005)
Electronic Journal of Probability [electronic only]
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Baten, Md.Azizul (2006)
Journal of Applied Mathematics and Stochastic Analysis
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van Huu Nguyen (1981)
Kybernetika
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Khaled Bahlali, Brahim Mezerdi, Youssef Ouknine (1998)
Séminaire de probabilités de Strasbourg
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Marina L. Kleptsyna, Alain Le Breton, Michel Viot (2008)
ESAIM: Probability and Statistics
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In this paper we solve the basic fractional analogue of the classical linear-quadratic Gaussian regulator problem in continuous-time with partial observation. For a controlled linear system where both the state and observation processes are driven by fractional Brownian motions, we describe explicitly the optimal control policy which minimizes a quadratic performance criterion. Actually, we show that a separation principle holds, , the optimal control separates into two stages based...
Pham, Huyên (2005)
Probability Surveys [electronic only]
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Jack, Andrew, Zervos, Mihail (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Mokhtar Hafayed, Petr Veverka, Syed Abbas (2014)
Applications of Mathematics
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We establish necessary and sufficient conditions of near-optimality for nonlinear systems governed by forward-backward stochastic differential equations with controlled jump processes (FBSDEJs in short). The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle and continuity in some sense of the state and adjoint processes with respect to the control variable. We prove that under an additional hypothesis, the near-maximum...