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On a Stochastic Control Problem with Terminal State Constraints Edward Tafumaneyi Chiyaka
On a Stochastic Control Problem with Terminal State Constraints
Edward Tafumaneyi Chiyaka
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.
| Medij | Knjige Paperback Book (Knjiga z mehkimi platnicami in lepljenim hrbtom) |
| Izdano | 6. marca 2013 |
| ISBN13 | 9783659358142 |
| Založniki | LAP LAMBERT Academic Publishing |
| Strani | 60 |
| Dimenzije | 150 × 4 × 225 mm · 107 g |
| Jezik | Nemščina |