Abstract
The synthesis of optimal control over nonlinear stochastic systems that are described by the Itô equations is reduced to the solution of recurrence relations derived from the Bellman stochastic equation.
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Additional information
Kharkov Technical University of Radioelectronics, Kharkov. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 51, No. 4, pp. 532–541, April, 1999.
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Trigub, M.V. Optimal control over nonlinear stochastic systems. Ukr Math J 51, 592–603 (1999). https://doi.org/10.1007/BF02591761
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DOI: https://doi.org/10.1007/BF02591761