On the Existence of the Optimal Control for Stochastic Functional Differential Equations Subject to External Disturbances

The authors discuss the comparison theorem for solutions of stochastic functional differential equations subject to external disturbances and its application to a stochastic control problem. Keywords: comparison theorem, stochastic control, stochastic functional differential equations.

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Bibliographic Details
Published inCybernetics and systems analysis Vol. 60; no. 3; pp. 462 - 471
Main Authors Yasynskyy, V. K., Yurchenko, I. V.
Format Journal Article
LanguageEnglish
Published New York Springer US 01.05.2024
Springer
Springer Nature B.V
Subjects
Analysis
Artificial Intelligence
Control
Control systems
Differential equations
Disturbances
Investment analysis
Mathematics
Mathematics and Statistics
Optimal control
Processor Architectures
Software Engineering/Programming and Operating Systems
Stochastic processes
Systems Theory
stochastic functional differential equations
stochastic control
comparison theorem
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Summary:The authors discuss the comparison theorem for solutions of stochastic functional differential equations subject to external disturbances and its application to a stochastic control problem. Keywords: comparison theorem, stochastic control, stochastic functional differential equations.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1060-0396
1573-8337
DOI:10.1007/s10559-024-00687-2