ATTENTION: The software behind KU ScholarWorks is being upgraded to a new version. Starting July 15th, users will not be able to log in to the system, add items, nor make any changes until the new version is in place at the end of July. Searching for articles and opening files will continue to work while the system is being updated.
If you have any questions, please contact Marianne Reed at mreed@ku.edu .
On the solutions of a stochastic control system II
dc.contributor.author | Duncan, Tyrone E. | |
dc.contributor.author | Varaiya, Pravin | |
dc.date.accessioned | 2015-02-17T20:48:03Z | |
dc.date.available | 2015-02-17T20:48:03Z | |
dc.date.issued | 1975-01-01 | |
dc.identifier.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. | en_US |
dc.identifier.uri | http://hdl.handle.net/1808/16693 | |
dc.description | This is the published version, also available here: http://dx.doi.org/10.1137/0313066. | en_US |
dc.description.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. | en_US |
dc.publisher | Society for Industrial and Applied Mathematics | en_US |
dc.title | On the solutions of a stochastic control system II | en_US |
dc.type | Article | |
kusw.kuauthor | Duncan, Tyrone E. | |
kusw.kudepartment | Mathematics | en_US |
dc.identifier.doi | 10.1137/0313066 | |
kusw.oaversion | Scholarly/refereed, publisher version | |
kusw.oapolicy | This item does not meet KU Open Access policy criteria. | |
dc.rights.accessrights | openAccess |