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On maximal solution to infinite dimensional perturbed Riccati differential equations arising in stochastic control.
Jack Baczynski
Marcclo D. Fragoso
Published in:
CDC (2001)
Keyphrases
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differential equations
infinite dimensional
brownian motion
stochastic control
numerical methods
finite dimensional
numerical solution
dynamical systems
optimal solution
partial differential equations
closed form
convex sets
markov chain
finite element
computer vision
exact solution
linear systems