Формула стохастичного диференціала та розв’язок задачі керування
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. Particu...
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| Date: | 2024 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
V.M. Glushkov Institute of Cybernetics of NAS of Ukraine
2024
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| Subjects: | |
| Online Access: | https://jais.net.ua/index.php/files/article/view/412 |
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| Journal Title: | Problems of Control and Informatics |