An approximation method in stochastic optimal control

  • W. Römisch
Stochastic Control
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 22)


Optimal Control Problem Stochastic Optimal Control Approximate Problem Stochastic Optimal Control Problem Deterministic Control 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. [1]
    Budak, B.M., F.P. Vasil'ev: Some numerical aspects in optimal control (russ.); Izd.Mosk.Univ. 1975.Google Scholar
  2. [2]
    Daniel, J.W.: The Approximate Minimization of Functionals; Prentice-Hall, Inc., Englewood Cliffs, 1971.Google Scholar
  3. [3]
    Daniel, J.W.: The Ritz-Galerkin Method for Abstract Optimal Control Problems; SIAM J. Control 11(1973), pp.53–63.Google Scholar
  4. [4]
    Fleming, W.H., R.W. Rishel: Deterministic and Stochastic Optimal Control (russ.); Moscow 1978.Google Scholar
  5. [5]
    Gajewski, H., K. Gröger, K. Zacharias: Nichtlineare Operatorgleichungen und Operatordifferentialgleichungen; Akademie-Verlag, Berlin 1974.Google Scholar
  6. [6]
    Kluge, R.: Nichtlineare Variationsungleichungen und Extremalaufgaben; Verlag d. Wissensch., Berlin 1979.Google Scholar
  7. [7]
    Römisch, W., R. Schulze, D. Sohr: Kennwertmethoden für Volterrasche Integralgleichungen in stochastischen Prozessen; Dissertation, Humboldt-Universität zu Berlin, 1976.Google Scholar
  8. [8]
    Römisch, W., R. Schulze: Kennwertmethoden für stochastische Volterrasche Integralgleichungen; Wiss. Z. Humboldt-Univ. Berlin, Math.-Nat. R. XXVIII(1979)4, pp.521–531.Google Scholar
  9. [9]
    Römisch, W., R. Schulze: Kennwertmethoden zur Behandlung des Tracking-Problems mit stochastischen Parametern; interne Forschungsberichte, Humboldt-Univ. Berlin, Sektion Mathematik, 1975/76 (unpublished).Google Scholar
  10. [10]
    Soong, T.T.: Random Differential Equations in Science and Engineering; Academic Press, New York, 1973.Google Scholar
  11. [11]
    Strand, J.L.: Random Ordinary Differential Equations; J. Differential Equations 7(1970), pp.538–553.Google Scholar
  12. [12]
    Warga, J.: Optimal Control of Differential and Functional Equations; Academic Press, New York, 1972.Google Scholar

Copyright information

© Springer-Verlag 1980

Authors and Affiliations

  • W. Römisch
    • 1
  1. 1.Department of MathematicsHumboldt-University BerlinBerlin

Personalised recommendations