DocumentCode
306664
Title
On time hybrid controlled Martingale problem
Author
Bielecki, Tomasz R.
Author_Institution
Dept. of Math., Northeastern Illinois Univ., Chicago, IL, USA
Volume
2
fYear
1996
fDate
11-13 Dec 1996
Firstpage
1767
Abstract
A time hybrid controlled martingale problem (THCMP) is defined. The THCMP extends the classical concept of the controlled martingale problem. The relevance of THCMP to time hybrid control problems, that incorporate both discrete and continuous time scales, is demonstrated. Bellman-type optimality equations and a verification theorem that extend, and unite, the classical optimality results of continuous time and discrete time control theories are provided. Some illustrative examples are also given
Keywords
continuous time systems; discrete time systems; stochastic processes; stochastic systems; Bellman-type optimality equations; classical optimality results; continuous time scales; discrete time scales; time hybrid controlled Martingale problem; verification theorem; Computer science; Control system synthesis; Control systems; Control theory; Electric shock; Equations; Mathematics; Optimal control; Statistics; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location
Kobe
ISSN
0191-2216
Print_ISBN
0-7803-3590-2
Type
conf
DOI
10.1109/CDC.1996.572820
Filename
572820
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