Linear square optimal control problem for stochastic difference equations with unknown parameters

Mathematical and Computer Modelling

Volumn 25, Issue 2, 1997, Pages 3-9

  Agarwal, R P ^a   Shaikhet, L E ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b Mariupol State University   (Ukraine)

Author keywords

Optimal control problem; Square cost functional; Stochastic difference equations; Unknown parameters

Indexed keywords

CONTROL THEORY; LINEAR EQUATIONS; OPTIMAL CONTROL SYSTEMS; SET THEORY; SYSTEM STABILITY;

STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS; STOCHASTIC LINEAR DIFFERENCE EQUATIONS;

DIFFERENCE EQUATIONS;

EID: 0030901824     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(97)00002-2     Document Type: Article

References (5)

1. 1. V.B. Kolmanovskii and L.E. Shaikhet, General method of Lyapunov functionals construction for stability investigations of stochastic difference equations, In Dynamical Systems and Applications, World Scientific Series in Applicable Analysis, Volume 4, pp. 397-439, (1995).
2. 2. N.V. Kuchkina and L.E. Shaikhet, Linear-square optimal control problem for stochastic second kind Volterra equations, Advances in Difference Equations II, Computers Math. Applic. (to appear).
3. 3. L.E. Shaikhet, Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations, Appl. Math. Lett. (to appear).
4. 4. V.B. Kolmanovskii and L.E. Shaikhet, Control of Systems with Aftereffect, Providence, RI, (1996).
5. 5. R.Sh. Liptser and A.N. Shiryayev, Statistics of Random Processes, Springer-Verlag, New York, (1977).