Title: Control of systems with jump Markov disturbances
Abstract: Abstract-Control of stochastic differential equations of the form dot{x}=f^{r(t)}(t,x,u) in which r(t) is a fiie-state Markov p n m s is discussed Dynamic programming optimalityconditions are shown to be necessary and sufficient for oplimality. A stochastic minimom principle whose adjoints satisfy deterministic integral equations is defiied and shorn to be necessary and snffiaent for optimality.
Publication Year: 1975
Publication Date: 1975-04-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 102
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