Stochastic Systems Controlled by Vector Measures

N. U. Ahmed and Shian Wang
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N. U. Ahmed: University of Ottawa
Shian Wang: University of Minnesota

Chapter Chapter 6 in Optimal Control of Dynamic Systems Driven by Vector Measures, 2021, pp 197-273 from Springer

Abstract: Abstract This chapter presents numerous results on existence of optimal controls and necessary conditions of optimality for systems governed by stochastic differential equations controlled by vector measures. Important convergence theorems are also presented guaranteeing convergence of any algorithm based on the necessary conditions of optimality.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-82139-5_6

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DOI: 10.1007/978-3-030-82139-5_6

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