Optimal Control of Backward Doubly Stochastic Systems With Partial Information

2015 ◽  
Vol 60 (1) ◽  
pp. 173-178 ◽  
Author(s):  
Qingfeng Zhu ◽  
Yufeng Shi
Keyword(s):  
Optimal Control ◽  
Stochastic Systems ◽  
Partial Information ◽  
Doubly Stochastic

scholarly journals Necessary condition for optimal control of doubly stochastic systems

2019 ◽  
Vol 0 (0) ◽  
pp. 0-0
Author(s):  
Liangquan Zhang ◽  
◽  
Qing Zhou ◽  
Juan Yang
Keyword(s):  
Optimal Control ◽  
Stochastic Systems ◽  
Necessary Condition ◽  
Doubly Stochastic

scholarly journals Synthesis of Stochastic Systems with Partial Information via Control Barrier Functions

2020 ◽  
Vol 53 (2) ◽  
pp. 2441-2446
Author(s):  
Niloofar Jahanshahi ◽  
Pushpak Jagtap ◽  
Majid Zamani
Keyword(s):  
Stochastic Systems ◽  
Partial Information ◽  
Barrier Functions

scholarly journals A Type of Time-Symmetric Stochastic System and Related Games

Symmetry ◽  
2021 ◽  
Vol 13 (1) ◽  
pp. 118
Author(s):  
Qingfeng Zhu ◽  
Yufeng Shi ◽  
Jiaqiang Wen ◽  
Hui Zhang
Keyword(s):  
Nash Equilibrium ◽  
Time Delay ◽  
Differential Equations ◽  
Equilibrium Point ◽  
Stochastic Differential Equations ◽  
Stochastic System ◽  
Stochastic Systems ◽  
Necessary Condition ◽  
Nash Equilibrium Point ◽  
Doubly Stochastic

This paper is concerned with a type of time-symmetric stochastic system, namely the so-called forward–backward doubly stochastic differential equations (FBDSDEs), in which the forward equations are delayed doubly stochastic differential equations (SDEs) and the backward equations are anticipated backward doubly SDEs. Under some monotonicity assumptions, the existence and uniqueness of measurable solutions to FBDSDEs are obtained. The future development of many processes depends on both their current state and historical state, and these processes can usually be represented by stochastic differential systems with time delay. Therefore, a class of nonzero sum differential game for doubly stochastic systems with time delay is studied in this paper. A necessary condition for the open-loop Nash equilibrium point of the Pontriagin-type maximum principle are established, and a sufficient condition for the Nash equilibrium point is obtained. Furthermore, the above results are applied to the study of nonzero sum differential games for linear quadratic backward doubly stochastic systems with delay. Based on the solution of FBDSDEs, an explicit expression of Nash equilibrium points for such game problems is established.

Open-loop optimal control of a class of continuous-time stochastic systems—A simulation study†

1974 ◽  
Vol 19 (6) ◽  
pp. 1165-1175 ◽  
Author(s):  
EDGAR C. TACKER ◽  
THOMAS D. LINTON ◽  
CHARLES W. SANDERS
Keyword(s):  
Optimal Control ◽  
Simulation Study ◽  
Continuous Time ◽  
Stochastic Systems ◽  
Open Loop
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