Stochastic Optimal Control of Random Evolutions and SES
We consider stochastic optimal control (SOC) of controlled Markov  and semi-Markov Random Evolutions  Also, we study SOC for controlled averaged, merged and diffusion Random Evolutions (RE)  We introduce the cost functional for these REs, and derive the Hamilton-Jacobi-Bellman (HJB)-equations These results we apply to the stochastic evolutionary systems, such as traffic, storage and diffusion processes in Markov and semi-Markov random media We note that the all equalities and inequalities in the following first six sections are understood in weak sense.
KeywordsRegular Point Admissible Control Bellman Equation Stochastic Optimal Control Discount Cost
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