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Stochastic Optimization in Continuous Time by hzhang586 is a document available to read on EtoBox.
Chapter 3 discusses continuous time stochastic optimization and control for dynamical systems, focusing on the Markovian case and dynamic programming principles. It introduces the optimization of stochastic dynamical systems, detailing information structures, admissible controls, and the dynamics of controlled systems. The chapter culminates in defining the optimization problem and the Hamiltonian of the system, emphasizing the goal of minimizing a cost functional through admissible controls.
- Author
- hzhang586
- Language
- EN