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Optimal feedback control of stochastic McShane differential systems
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper, the optimal control problem of system described by stochastic McShane differential equations is considered. It is shown that this problem can be reduced to an equivalent optimal control problem of distributed parameter systems of parabolic type with controls appearing in the coefficients of the differential operator. Further, to this reduced problem, necessary conditions for optimality and an existence theorem for optimal controls are given.
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- Copyright © Applied Probability Trust 1974
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