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On the solutions of a stochastic control system
dc.contributor.author | Duncan, Tyrone E. | |
dc.contributor.author | Varaiya, Pravin | |
dc.date.accessioned | 2015-02-17T20:42:00Z | |
dc.date.available | 2015-02-17T20:42:00Z | |
dc.date.issued | 1971-01-01 | |
dc.identifier.citation | Duncan, Tyrone E. "On the solutions of a stochastic control system." SIAM J. Control. (1971) 9, 3. 354-371. http://www.dx.doi.org/10.1137/0309026. | en_US |
dc.identifier.uri | http://hdl.handle.net/1808/16692 | |
dc.description | This is the published version, also available here: http://www.dx.doi.org/10.1137/0309026. | en_US |
dc.description.abstract | The control system considered in this paper is modeled by the stochastic differential equation dx(t, to) f(t, x(., o), u(t, to)) dt + dB(t, to), where B is n-dimensional Brownian motion, and the control u is a nonanticipative functional of x(., to) taking its values in a fixed set U. Under various conditions on f it is shown that for every admissible control a solution is defined whose law is absolutely continuous with respect to the Wiener measure #, and the corresponding set of densities on the space C forms a strongly closed, convex subset of LI(C, I). Applications of this result to optimal control and two-person, zero-sum differential games are noted. Finally, an example is given which shows that in the case where only some of the components of x are observed, the set of attainable densities is not weakly closed in LI(C, t). | en_US |
dc.publisher | Society for Industrial and Applied Mathematics | en_US |
dc.title | On the solutions of a stochastic control system | en_US |
dc.type | Article | |
kusw.kuauthor | Duncan, Tyrone E. | |
kusw.kudepartment | Mathematics | en_US |
dc.identifier.doi | 10.1137/0309026 | |
kusw.oaversion | Scholarly/refereed, publisher version | |
kusw.oapolicy | This item does not meet KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess |