Stochastic Control and Topics in Applied Probability.

Abstract

Research findings achieved under the auspices of the Army research grant on topics of Stochastic control under partial observations; Dynamic allocation and Multi-armed Bandit Problems; Deterministic and anticipative aspects of stochastic optimization; Predictable representation properties for semimartingales; The stochastic version of Pontryagin's maximum principle; Representation of additive functionals of Markov processes are outlined in the final report. (AN)

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1995
Accession Number
ADA291712

Entities

People

  • Ioannis Karatzas

Organizations

  • Columbia University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Brownian Motion
  • Differential Equations
  • Dynamic Programming
  • Equations
  • Markov Processes
  • Military Research
  • New York
  • Optimization
  • Partial Differential Equations
  • Probability
  • Random Variables
  • Statistics
  • Stochastic Control
  • Stochastic Processes
  • Students
  • Universities

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.
  • Technical Research and Report Writing.