Titlebook: Estimation and Control of Dynamical Systems; Alain Bensoussan Book 2018 Springer International Publishing AG, part of Springer Nature 2018

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https://doi.org/10.1007/978-3-319-75456-7Linear Dynamical Systems; Dynamic Programming; Estimation; Differential Games; Stochastic Control; Backwa

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intuition

Deterministic Optimal Control,optimization problem, it is natural to look for necessary conditions of optimality for an optimal control. We explore this question in this section. Since it is a dynamic optimization, the role of time in expressing the necessary condition is important.

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Additional Results for BSDE,is often taken to be bounded, and the solution is bounded. Stochastic control leads mostly to problems in ... Moreover, the functions are unbounded, and the Hamiltonian may have quadratic growth. There may be conflicts that prevent solutions from existing.

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Book 2018tochastic control.? Many aspects which are not easily found in a single text are provided, such as connections between control theory and mathematical finance, as well as differential games..The book is self-contained and prioritizes concepts rather than full rigor, targeting scientists who want to

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