This page shows all publications that appeared in the IASI annual research reports. Authors currently affiliated with the Institute are always listed with the full name.

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IASI Research Report n. 523  (Previous    Next)  

Francesco Carravetta, Gabriella Mavelli

A second order analysis for a class of stochastic optimal control problems

ABSTRACT

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.