On the Existence of an Optimal Feedback Control for Stochastic Systems

被引：0

作者：

Stanzhitskii, A. N. ^{[1
]}

Samoilenko, E. A.

Mogileva, V. V.

机构：

[1] Kiev Natl Univ, Kiev, Ukraine

来源：

DIFFERENTIAL EQUATIONS | 2013年 / 49卷 / 11期

关键词：

Weak Solution; Optimal Control Problem; Performance Criterion; Admissible Control; Optimal Feedback Control;

D O I：

10.1134/S0012266113110128

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We prove the existence of an optimal control for systems of stochastic differential equations without solving the Bellman dynamic programming equation. Instead, we use direct methods for solving extremal problems.

引用

页码：1456 / 1464

页数：9

共 50 条

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