Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems.
Yazeng LiuShige PengPublished in: Autom. (2002)
Keyphrases
- stochastic differential equations
- infinite horizon
- brownian motion
- optimal control
- control system
- maximum a posteriori estimation
- finite horizon
- control strategy
- fractional brownian motion
- dynamic programming
- production planning
- inventory level
- stochastic demand
- long run
- lead time
- markov decision processes
- optimal policy
- additive gaussian noise
- markov decision process
- non stationary
- control policies
- average cost
- state space
- long range
- stochastic process
- poisson process
- inventory control
- periodic review
- stochastic processes
- differential equations
- real time