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On the Duality of Optimal Control Problems with Stochastic Differential Equations

<p>The main achievement of this work is the development of a duality theory for optimal control problems with stochastic differential equations. Incipient with the Hamilton-Jacobi-Bellman equation we established a dual problem to a given stochastic control problem and were also able to generalise the assembled theory.</p>
Date January 2008
CreatorsHuschto, Tony
PublisherHalmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE)
Source SetsDiVA Archive at Upsalla University
Detected LanguageEnglish
TypeStudent thesis, text

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