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Avtomatika i Telemekhanika, 1982, Issue 11, Pages 73–80 (Mi at5655)  
Adaptive Systems

Approximating solutions of essentially nonstationary stochastic extremal problems in continuous time

V. Ya. Katkovnik, O. Yu. Kulchitskii, V. E. Kheisin

Leningrad
Full-text PDF (1617 kB)
Abstract: The paper is concerned with different statements of stochastic extremal problems with significant drift of the extremum. Sufficiently general principles for generation of algorithms to solve such problems are proposed. This approach is shown to be akin with general concepts of the theory of automatic control and optimal filtering.

Received: 07.08.1981
Bibliographic databases:
Document Type: Article
UDC: 62-506
Language: Russian
Citation: V. Ya. Katkovnik, O. Yu. Kulchitskii, V. E. Kheisin, “Approximating solutions of essentially nonstationary stochastic extremal problems in continuous time”, Avtomat. i Telemekh., 1982, no. 11, 73–80; Autom. Remote Control, 43:11 (1982), 1424–1431
Citation in format AMSBIB
\Bibitem{KatKulKhe82}
\by V.~Ya.~Katkovnik, O.~Yu.~Kulchitskii, V.~E.~Kheisin
\paper Approximating solutions of essentially nonstationary stochastic extremal problems in continuous time
\jour Avtomat. i Telemekh.
\yr 1982
\issue 11
\pages 73--80
\mathnet{http://mi.mathnet.ru/at5655}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=712362}
\zmath{https://zbmath.org/?q=an:0515.93076}
\transl
\jour Autom. Remote Control
\yr 1982
\vol 43
\issue 11
\pages 1424--1431
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