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Stochastic Optimal Control of Random Evolutions and SES

  • Anatoly Swishchuk
Part of the Mathematics and Its Applications book series (MAIA, volume 504)

Abstract

We consider stochastic optimal control (SOC) of controlled Markov [150] and semi-Markov Random Evolutions [154] Also, we study SOC for controlled averaged, merged and diffusion Random Evolutions (RE) [154] 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.

Keywords

Regular Point Admissible Control Bellman Equation Stochastic Optimal Control Discount Cost 
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Copyright information

© Springer Science+Business Media Dordrecht 2000

Authors and Affiliations

  • Anatoly Swishchuk
    • 1
  1. 1.Institute of MathematicsNational Academy of SciencesKievUkraine

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