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Avtomatika i Telemekhanika, 1981, Issue 10, Pages 63–70 (Mi at5957)  
Stochastic Systems

The problem of stochastic control with random constraints on the control signal

M. S. Markish

Moscow
Full-text PDF (1399 kB)
Abstract: The paper is concerned with optimal control of a stochastic system where constraints on the control signal depend on the state of the system or the environment. This problem can be solved by reduction to a common stochastic control problem. An example is considered which is maximization of the mean time to the first crossing of the boundary.

Received: 19.08.1980
Bibliographic databases:
Document Type: Article
UDC: 62-505
Language: Russian
Citation: M. S. Markish, “The problem of stochastic control with random constraints on the control signal”, Avtomat. i Telemekh., 1981, no. 10, 63–70; Autom. Remote Control, 42:10 (1981), 1331–1337
Citation in format AMSBIB
\Bibitem{Mar81}
\by M.~S.~Markish
\paper The problem of stochastic control with random constraints on the control signal
\jour Avtomat. i Telemekh.
\yr 1981
\issue 10
\pages 63--70
\mathnet{http://mi.mathnet.ru/at5957}
\zmath{https://zbmath.org/?q=an:0489.93068}
\transl
\jour Autom. Remote Control
\yr 1981
\vol 42
\issue 10
\pages 1331--1337
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