On Some Special Classes of Stochastic Optimal Control Problems

Kok Lay Teo, Bin Li, Changjun Yu and Volker Rehbock
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Kok Lay Teo: Sunway University
Bin Li: Sichuan University
Changjun Yu: Shanghai University
Volker Rehbock: Curtin University

Chapter Chapter 12 in Applied and Computational Optimal Control, 2021, pp 471-499 from Springer

Abstract: Abstract In this chapter, we consider two classes of stochastic optimal control problems. More specifically, in Section 12.2 we consider a class of combined optimal parameter selection and optimal control problems in which the dynamical system is governed by linear Ito stochastic differential equation involving a Wiener process. Both the control and system parameter vectors may, however, appear nonlinearly in the system dynamics.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-030-69913-0_12

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DOI: 10.1007/978-3-030-69913-0_12

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