Please use this identifier to cite or link to this item: https://doi.org/10.1016/S0895-7177(97)00002-2
Title: Linear square optimal control problem for stochastic difference equations with unknown parameters
Authors: Agarwal, R.P. 
Shaikhet, L.E.
Keywords: Optimal control problem
Square cost functional
Stochastic difference equations
Unknown parameters
Issue Date: Jan-1997
Citation: Agarwal, R.P., Shaikhet, L.E. (1997-01). Linear square optimal control problem for stochastic difference equations with unknown parameters. Mathematical and Computer Modelling 25 (2) : 3-9. ScholarBank@NUS Repository. https://doi.org/10.1016/S0895-7177(97)00002-2
Abstract: The problems of stability and optimal control for stochastic difference equations are receiving important attention now (see, for example, [1-3]). In this paper, the optimal control in final form is obtained for optimal control problem of stochastic linear difference equation with unknown parameters and square cost functional. For stochastic functional differential equations, analogous result are obtained in [4].
Source Title: Mathematical and Computer Modelling
URI: http://scholarbank.nus.edu.sg/handle/10635/103500
ISSN: 08957177
DOI: 10.1016/S0895-7177(97)00002-2
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