On a stochastic control problem with terminal state constraints Год выпуска: 2013Автор: Edward Tafumaneyi ChiyakaИздательство: LAP Lambert Academic PublishingСтраниц: 60ISBN: 9783659358142Описание In this book, dynamical systems subject to some random perturbations which can be controlled are studied in order to optimize some performance criteria. A stochastic control problem in both finite and infinite time interval with terminal state constraint is formulated. The formulated stochastic control problem is solved using the dynamic programming principle for continuous Markov processes and also the maximum principle using the Hamilton-Jacobi-Bellman (HJB) equations.
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Александр Наталия, спасибо большое!!! Защитился на 5 очков! СУПЕР!!! Буду теперь Вам делать рекламу.
