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IASI Research Report n. 523 (Previous Next)
Francesco Carravetta,
Gabriella MavelliA second order analysis for a class of stochastic optimal control problemsABSTRACT The stochastic optimal control problem for systems described by Ito equations with linear drift and nonlinear diffusion is considered. The optimal feedback control law in a class of linear con- trollers is found. The optimality criterion is the classical quadratic one for a fixed-interval state- regulation problem. The solution of this problem is presented for both the complete/incomplete information cases.