Abstract
To begin with, let us recall a well known separation result for a stochastic linear regulator problem [6],[9],[I]. Let (Ω,P) be the underlying probability space and consider the following system:
where x, y, u correspond to state, observation and control processes respectively. W(t,ω) is a Wiener process, the matrices A, B,... are, say, continuous in t and of appropriate dimensions, X 0 is a r.v. independent of W(t,ω), t ≥ 0.
Keywords
- Stochastic Differential Equation
- Riccati Equation
- Wiener Process
- Stochastic Control
- Optimal Stochastic Control
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Ruzicka, J. (1975). On a Class of Stochastic Bang-Bang Control Problems. In: Bensoussan, A., Lions, J.L. (eds) Control Theory, Numerical Methods and Computer Systems Modelling. Lecture Notes in Economics and Mathematical Systems, vol 107. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46317-4_18
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DOI: https://doi.org/10.1007/978-3-642-46317-4_18
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