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The Conditional Adjoint Process.

dc.contributor.authorBaras, John S.en_US
dc.contributor.authorElliott, Robert J.en_US
dc.contributor.authorKohlmann, Michaelen_US
dc.date.accessioned2007-05-23T09:40:37Z
dc.date.available2007-05-23T09:40:37Z
dc.date.issued1988en_US
dc.identifier.urihttp://hdl.handle.net/1903/4734
dc.description.abstractThe adjoint and minimum principle for a partially observed diffusion can be obtained by differentiating the statement that a control u* is optimal. Using stochastic flows the variation in the cost resulting from a change in an optimal control can be computed explicitly. The technical difficulty is to justify the differentiation.en_US
dc.format.extent239886 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_USen_US
dc.relation.ispartofseriesISR; TR 1988-1en_US
dc.titleThe Conditional Adjoint Process.en_US
dc.typeTechnical Reporten_US
dc.contributor.departmentISRen_US


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