Stochastic Control Theory

Book Chapter (2021)
Author(s)

J.H. van Schuppen (TU Delft - Mathematical Physics)

Research Group
Mathematical Physics
DOI related publication
https://doi.org/10.1007/978-3-030-66952-2_16
More Info
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Publication Year
2021
Language
English
Research Group
Mathematical Physics
Pages (from-to)
617-624
ISBN (electronic)
978-0-030-66952-2

Abstract

Stochastic control issues of a general character are presented. Problems of control theory are mentioned which require research interest the coming years. A general method for sufficient and necessary conditions for the existence of an optimal control law is discussed. The framework covers arbitrary cost functions, including additive and multiplicative functions. In addition, the approach of a measure transformation is formulated and illustrated for stochastic control of a partially observed stochastic control system.

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