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Stochastic Optimal Control 收藏

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作者

Alain Bensoussan[1]

作者单位

[1]International Center for Risk and Decision Analysis Jindal School of ManagementUniversity of Texas at DallasRichardsonUSA;[2]Department of Systems Engineering and Engineering ManagementCity University of Hong KongKowloonHong Kong

发布日期

24 May 2018

页码

249-317

DOI

10.1007/978-3-319-75456-7_11

来源信息

Estimation and Control of Dynamical Systems ISBN：9783319754550, 2018年, 249-317页

摘要

We consider We consider a probability space \(\Omega ,\mathcal {A},P\) equipped with a filtration \(\mathcal {F}^{t}\) and a standard \(P,\mathcal {F}^{t}\) Wiener process with values in R^k.

摘要译文

我们考虑我们考虑一个概率空间 - （ - Omega，-mathcal {A}，P-）配备过滤 - （ - mathcal {F} ^ {t} - ）和标准 - （P，-mathcal {F} ^ {t} - ）Wiener过程，其值为R ^{k 。}

Alain Bensoussan[1]. Stochastic Optimal Control. Estimation and Control of Dynamical Systems[M].DE: Springer, 2018: 249-317