[01025] EXISTENCE OF OPTIMAL CONTROL FOR TIME VARYING STOCHASTIC DIFFERENTIAL EQUATIONS
Session Time & Room : 1E (Aug.21, 17:40-19:20) @F401
Type : Contributed Talk
Abstract : The work deals with the control problem for linear stochastic time varying system driven by square integrable stochastic process with zero mean and continuous sample paths. The cost functional is considered to be quadratic in the system state and the control. The completion of squares technique is used to establish the existence of optimal control under the family of non-adapted admissible control.
