Applying stochastic control theory
, we solved the optimization problem explicitly and obtained the exact solution of the optimal trajectory, velocity, and the optimal variance.
As application of stochastic control theory
, the stochastic maximum principle is usually used to solve investment strategy, risk control, and recursive utility; see examples of the literature: Ji and Zhou , Nualart and Schoutens , Shi and Wu , and Aase .
Morato, "Quantization of dynamical systems and stochastic control theory
," Physical Review D, vol.
Also discussed is stochastic control theory
, including both state variable systems and polynomial systems.
In Paper 6 of the author develops a model using stochastic control theory
that includes the original claims process, claims reserves, reinsurance, investment return, premiums, and solvency margin.
The control tuning objectives of the course spanned the classical quarter amplitude methods dating back to 1942 through to the most recent minimum variance control concept which has its roots in the evolution of stochastic control theory from 1965 through to 1980.
Virtually no undergraduates get any nonlinear control theory or stochastic control theory.
Astrom, Introduction to Stochastic Control Theory
, Translated by Yuhuan Pan, Science Press, Beijing, China, 1983.
By basic principles of linear quantum stochastic control theory
, it has been presented that optimal and robust design of quantum coherent-feedback loops can be accomplished using sophisticated methods of system engineering , and an experimental implementation of coherent-feedback quantum control with optical resonators as the dynamical systems and laser beams as the coherent disturbance and feedback signals has been presented .