SIAMCO 2002 - PDF Preprint Papers

SIAMCO 2002

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SIAMCO
2002

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Generalized Solutions in Nonlinear Stochastic Control Problems

13 years 11 months ago

Download www.cmss.monash.edu.au

An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within t...

F. Dufour, Boris M. Miller

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