Return to search

On the Duality of Optimal Control Problems with Stochastic Differential Equations

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.
Date January 2008
CreatorsHuschto, Tony
PublisherHögskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE)
Source SetsDiVA Archive at Upsalla University
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text

Page generated in 0.0056 seconds