Optimal adaptive control with separable drift uncertainty
We consider a problem of stochastic optimal control with separable drift uncertainty in strong formulation on a finite time horizon. The drift of the state Y u is multiplicatively influenced by an unknown random variable λ, while admissible controls u are required to be adapted to the observation fi...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2025
|