Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
作者： A. Bensoussan , J. H. van Schuppen
DOI: 10.1137/0323038
关键词: Mathematics 、 Linear-quadratic-Gaussian control 、 Stochastic control 、 Geometric Brownian motion 、 Stochastic calculus 、 Continuous-time stochastic process 、 Stochastic partial differential equation 、 Mathematical analysis 、 Stochastic optimization 、 Stochastic differential equation
摘要: The stochastic control problem with linear differential equations driven by Brownian motion processes and as cost functional the exponential of a quadratic form is considered. soluti...
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