Linear square optimal control problem for stochastic difference equations with unknown parameters |
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Institution: | Department of Mathematics National University of Singapore 10 Kent Ridge Crescent, Singapore 119260;Department of Mathematics, Informatics and Computering Donetsk State Academy of Management Chelyuskintsev str., 163-a, Donetsk 340015, Ukraine |
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Abstract: | The problems of stability and optimal control for stochastic difference equations are receiving important attention now (see, for example, 1–3]). In this paper, the optimal control in final form is obtained for optimal control problem of stochastic linear difference equation with unknown parameters and square cost functional. For stochastic functional differential equations, analogous result are obtained in 4]. |
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