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Found 117 Documents (Results 1–100)

Optimal stochastic control, stochastic target problems, and backward SDE. (English) Zbl 1256.93008

Fields Institute Monographs 29. New York, NY: Springer; Toronto: The Fields Institute for Research in the Mathematical Sciences (ISBN 978-1-4614-4285-1/hbk; 978-1-4614-4286-8/ebook). x, 214 p. (2013).
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Lectures on dynamics of stochastic systems. Translated from the Russian by A. Vinogradov. Revised and extended ed. (English) Zbl 1233.93001

Amsterdam: Elsevier/Academic Press (ISBN 978-0-12-384966-3/hbk). xiv, 396 p. (2011).
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Investigation of the one-dimensional optimization model MD1: infinite horizon and finite horizon. (Russian) Zbl 1120.49034

Osipov, Yu. S. (ed.) et al., Problems in dynamic control. No. 1. Moscow: MoskovskiĭGosudarstvennyĭUniverstitet im. M. V. Lomonosova, Fakul’tet Vychislitel’noĭMatematiki i Kibernetiki (ISBN 5-89407-241-7/pbk). 111-136 (2005).
MSC:  49N90 49K15
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Analysis of exponential stability of a linear stochastic oscillator under small diffusive disturbances. (English. Russian original) Zbl 1125.93067

Cybern. Syst. Anal. 40, No. 2, 200-207 (2004); translation from Kibern. Sist. Anal. 2004, No. 2, 63-72 (2004).
MSC:  93E15 60H10
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Optimal problems on Hölder function spaces. (English. Russian original) Zbl 1110.49006

J. Math. Sci., New York 121, No. 2, 2265-2280 (2004); translation from Itogi Nauki Tekh., Ser. Sovrem. Mat. Prilozh., Temat. Obz. 110, 109-133 (2006).
MSC:  49J30 49J55 62G05
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Lyapunov exponent and stability of optimally controlled quasi partially integrable Hamiltonian systems. (English) Zbl 1066.93063

Sri Namachchivaya, N. (ed.) et al., IUTAM symposium on nonlinear stochastic dynamics. Proceedings of the IUTAM symposium, Monticello, IL, USA, Augsut 26–30, 2002. Dordrecht: Kluwer Academic Publishers (ISBN 1-4020-1471-6/hbk). Solid Mech. Appl. 110, 279-288 (2003).
MSC:  93E15 93E20 60H10
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Non-symmetric Riccati theory and linear quadratic Nash games. (English) Zbl 1113.91010

Petrosjan, L.A. (ed.) et al., 10th international symposium on dynamic games and applications. St. Petersburg, Russia. In 2 vol. St. Petersburg: International Society of Dynamic Games, St. Petersburg State Univ. (ISBN 5-7997-0412-6). 450-455 (2002).
MSC:  91A23 49N10 49N70
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Diffusion approximation and optimal stochastic control. (English. Russian original) Zbl 0974.60066

Theory Probab. Appl. 44, No. 4, 669-698 (1999); translation from Teor. Veroyatn. Primen. 44, No. 4, 705-737 (1999).
Reviewer: T.N.Pham (Hanoi)
MSC:  60J60 93E20
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A robust resolution for the Zakai equation and infinitesimal generator of the asymptotic filtering process. (English) Zbl 0921.60045

Bristeau, M.-O. (ed.) et al., Computational science for the 21st century. Dedicated to Prof. Roland Glowinski on the occasion of his 60th birthday. Symposium, Tours, France, May 5–7, 1997. Chichester: John Wiley & Sons. 827-830 (1997).
Reviewer: T.N.Pham (Hanoi)
MSC:  60H10 93E11
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Nonlinear potentials of the Cauchy-Dirichlet problem for the integrodifferential Bellman equation. (English. Russian original) Zbl 0885.60045

Lith. Math. J. 36, No. 2, 142-173 (1996); translation from Liet. Mat. Rink. 36, No. 2, 178-218 (1996).
Reviewer: T.N.Pham (Hanoi)
MSC:  60H10 93E20 49L25 35D05
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On the relation between deterministic and stochastic optimal control. (English) Zbl 0794.93106

Da Prato, G. (ed.) et al., Stochastic partial differential equations and applications. Proceedings of the third meeting on stochastic partial differential equations and applications held at Villa Madruzzo, Trento, Italy, January 1990. Harlow: Longman Scientific & Technical. Pitman Res. Notes Math. Ser. 268, 124-157 (1992).
Reviewer: T.N.Pham (Hanoi)
MSC:  93E20 49N99 34F05
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