- Tytuł:
- A direct approach to linear-quadratic stochastic control
- Autorzy:
-
Duncan, T. E.
Pasik-Duncan, B. - Powiązania:
- https://bibliotekanauki.pl/articles/255863.pdf
- Data publikacji:
- 2017
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
linear-quadratic Gaussian control
Riccati equation for optimization
stochastic control - Opis:
- A direct approach is used to solve some linear-quadratic stochastic control problems for Brownian motion and other noise processes. This direct method does not require solving Hamilton-Jacobi-Bellman partial differential equations or backward stochastic differential equations with a stochastic maximum principle or the use of a dynamic programming principle. The appropriate Riccati equation is obtained as part of the optimization problem. The noise processes can be fairly general including the family of fractional Brownian motions.
- Źródło:
-
Opuscula Mathematica; 2017, 37, 6; 821-827
1232-9274
2300-6919 - Pojawia się w:
- Opuscula Mathematica
- Dostawca treści:
- Biblioteka Nauki
Artykuł