3 edition of **Stochastic control theory and stochastic differential systems** found in the catalog.

- 77 Want to read
- 3 Currently reading

Published
**1979** by Springer-Verlag in Berlin, New York .

Written in English

- Control theory -- Congresses.,
- Stochastic differential equations -- Congresses.

**Edition Notes**

Statement | edited by M. Kohlmann and W. Vogel. |

Series | Lecture notes in control and information sciences -- v. 16., Lecture notes in control and information sciences -- 16. |

Contributions | Kohlmann, M., Vogel, Walter., Deutsche Forschungsgemeinschaft., Sonderforschungsbereich 72., Universita t Bonn. |

The Physical Object | |
---|---|

Pagination | xii, 615 p. : |

Number of Pages | 615 |

ID Numbers | |

Open Library | OL14189833M |

ISBN 10 | 3540094806 |

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"Stochastic Control" by Yong and Zhou is a comprehensive introduction to the modern stochastic optimal control theory. While the stated goal of the book is to establish the equivalence between the Hamilton-Jacobi-Bellman and Pontryagin formulations of the subject, the Cited by: Stochastic Control Theory and Stochastic Differential Systems Proceedings of a Workshop of the „Sonderforschungsbereich 72 der Deutschen Forschungsgemeinschaft an der Universität Bonn“ which took place in January at Bad Honnef.

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Stochastic Control Theory and Stochastic Differential Systems Proceedings of a Workshop of the „Sonderforschungsbereich 72 der Deutschen Forschungsgemeinschaft an der Universität Bonn“ which took place in January at Bad Honnef. Editors: Kohlmann, Michael, Vogel, W.

(Eds.) Free Preview. This edited volume contains sixteen research articles and presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control.

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Stochastic Differential Systems, Stochastic Control Theory and Applications. [Wendell Fleming; P L Lions] -- This volume has resulted from an IMA workshop that sought to provide a mix of topics from both traditional areas of stochastic control theory and newer areas of application.

The papers represent a. Stochastic filtering theory: A discussion of concepts, methods, and results.- to the theory of optimal stopping.- Weak martingales associated with a two parameter jump process.- Stochastic stagewise Stackleberg strategies for linear quadratic systems This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control.

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The coverage of the book focuses mainly on stochastic partial differential equations and related random fields and on discrete and. The separation principle is one of the fundamental principles of stochastic control theory, which states that the problems of optimal control and state estimation can be decoupled under certain its most basic formulation it deals with a linear stochastic system = () + () + = () + with a state process, an output process and a control, where is a vector-valued Wiener process.

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Seil Hans Weinberger PREFACE This volume is the Proceedings of a Workshop on Stochastic Differential Systems, Stochastic Control Theory, and Applications held at IMA JuneThe Workshop Program Commit tee consisted of W.H.

Fleming and P.-L. Lions (co-chairmen), J. Baras, B. Hajek, J.M. Harrison, and H. : Gebundenes Buch. obtain correct results for nonlinear stochastic problems in continuous time it is essential that the modern language and theory of stochastic processes and stochastic differential equations be used.

The book of Wong [5] is the preferred text. Some of this language is summarized in Section 3. Modern control theory and in particular state space or state variable methods can be adapted to the description of many different systems because it depends strongly on physical modeling and physical intuition.

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PUGACHEV and I. SINITSYN Reviewer: A. BAOCH. Faculty of Applied Mathematics, University of Twente, P.O. NL AE Enschede, The Netherlands. THIS BOOK is concerned with dynamical systems. This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems.

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