Stochastic differential formula and solution of control problem
Exact solution of finite-dimensional linear stochastic differential system with control is derived. Its uniqueness up to stochastic modification is proved. In order to achieve this, detailed grounding of existence for stochastic integral over a process with orthogonal increments is provided. Для скі...
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| Published in: | Проблеми керування та інформатики |
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| Date: | 2024 |
| Main Author: | |
| Format: | Article |
| Language: | Ukrainian |
| Published: |
Інститут кібернетики ім. В.М. Глушкова НАН України
2024
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| Subjects: | |
| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/211235 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Stochastic differential formula and solution of control problem/ K.Dziubenko // Проблеми керування та інформатики. — 2024. — № 5. — С. 44-63. — Бібліогр.: 4 назв. — англ. |