COMPOSITION AND INVARIANCE METHODS FOR SOLVING SOME STOCHASTIC CONTROL PROBLEMS

被引：9

作者：

BENES, VE ^{[1
]}

机构：

[1] BELL TEL LABS INC,MURRAY HILL,NJ 07974

来源：

关键词：

D O I：

10.2307/1426079

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

引用

页码：299 / 329

页数：31

共 16 条

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[4]

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[5]

BENES VE, TO BE PUBLISHED

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Cameron, RH ;

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DAVIS, MHA ;

VARAIYA, P .

SIAM JOURNAL ON CONTROL, 1973, 11 (02) :226-261

[8] SOLUTIONS OF A STOCHASTIC CONTROL SYSTEM [J].

DUNCAN, T ;

VARAIYA, P .

SIAM JOURNAL ON CONTROL, 1971, 9 (03) :354-&

[9]

FREIDLIN MI, 1967, FUNKT ANAL PRIL, V1, P74

[10]

Girsanov I.V., 1960, THEOR PROBAB APPL, V5, P285, DOI DOI 10.1137/1105027