Stochastic differential formula and solution of control problem

• Published in: Проблеми керування та інформатики
• Date: 2024
• ISSN: 0572-2691
• Main Author: Dziubenko, K.
• Format: Article
• Language: Ukrainian
• Published: Інститут кібернетики ім. В.М. Глушкова НАН України 2024
• Subjects: Стохастичні системи, нечіткі множини
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/211235
• 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.

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...