Optimization of Stochastic Jump Diffusion Systems Nonlinear in the Control
Author:
Publisher
Pleiades Publishing Ltd
Subject
Control and Systems Engineering,Electrical and Electronic Engineering
Link
https://link.springer.com/content/pdf/10.1134/S0005117922090077.pdf
Reference21 articles.
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2. Khrustalev, M.M. and Tsarkov, K.A., Sufficient relative minimum conditions in the optimal control problem for quasilinear stochastic systems, Autom. Remote Control, 2018, vol. 79, no. 12, pp. 2169–2185.
3. Khrustalev, M.M. and Tsar’kov, K.A., Moment characteristic method in the optimal control theory of diffusion-type stochastic systems, J. Comput. Syst. Sci. Int., 2019, vol. 58, no. 5, pp. 684–694.
4. Øksendal, B. and Sulem, A., Applied Stochastic Control of Jump Diffusions, Berlin–Heidelberg: Springer, 2005.
5. Platen, E. and Bruti-Liberati, N., Numerical Solution of Stochastic Differential Equations with Jumps in Finance, Berlin–Heidelberg: Springer, 2010.
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1. Sequential Improvement Method in Probabilistic Criteria Optimization Problems for Linear-in-State Jump Diffusion Systems;Automation and Remote Control;2023-06
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