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    On the solutions of a stochastic control system II

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    DuncanTE_Aug1975.pdf (1.272Mb)
    Issue Date
    1975-01-01
    Author
    Duncan, Tyrone E.
    Varaiya, Pravin
    Publisher
    Society for Industrial and Applied Mathematics
    Type
    Article
    Article Version
    Scholarly/refereed, publisher version
    Metadata
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    Abstract
    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.
    URI
    http://hdl.handle.net/1808/16693
    DOI
    https://doi.org/10.1137/0313066
    Collections
    • Mathematics Scholarly Works [273]
    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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    785-864-8983

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    Lawrence, KS 66045
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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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