Stochastic Hamiltonian-Jacobi-Bellman equation and stochastic Hamiltonian systems

Author:

Kolokoltsov V. N.

Publisher

Springer Science and Business Media LLC

Subject

Control and Optimization,Numerical Analysis,Algebra and Number Theory,Control and Systems Engineering

Reference30 articles.

1. S. Albeverio, A. Hilbert, and E. Zehnder, Hamiltonian systems with a stochastic force: Nonlinear versus linear and a Girsanov formula.Stochastics and Stochastics Reports 39 (1992), 159–188.

2. S. Albeverio, A. Hilbert and V. Kolokoltsov, Transience for stochastically perturbed Newton systems.Ruhr Universität Bochum, Preprint, 269, 1995.

3. S. Albeverio, Estimates uniform in time for the transition probability of diffusions with small drift and for stochastically perturbed Newton equations.Ruhr Universität Bochum, Preprint 291, 1995.

4. S. Albeverio and V. N. Kolokoltsov, The rate of escape for some Gaussian processes and the scattering theory for their small perturbations.Ruhr Universität Bochum, Preprint, (March 1996).

5. V. I. Arkin and I. V. Evstigneev, Stochastic models of control and economic dynamics.Academic Press, 1987.

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