On the solutions of a stochastic control system II
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Issue Date
1975-01-01Author
Duncan, Tyrone E.
Varaiya, Pravin
Publisher
Society for Industrial and Applied Mathematics
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
This paper presents generalizations of the work in [1], [2] to include controlled stochastic processes which take values in a certain class of Frechet spaces. The crucial result is an extension of Girsanov’s technique for defining solutions of stochastic differential equations by an absolutely continuous transformation of measures. The result is used to prove existence results for stochastic control problems and for a class of two-person zero sum games.
Description
This is the published version, also available here: http://dx.doi.org/10.1137/0313066.
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Citation
Duncan, Tyrone E. "On the solutions of a stochastic control system II." SIAM J. Control. (1975) 13, 5. 1077-1092. http://dx.doi.org/10.1137/0313066.
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