The Conditional Adjoint Process.
| dc.contributor.author | Baras, John S. | en_US |
| dc.contributor.author | Elliott, Robert J. | en_US |
| dc.contributor.author | Kohlmann, Michael | en_US |
| dc.contributor.department | ISR | en_US |
| dc.date.accessioned | 2007-05-23T09:40:37Z | |
| dc.date.available | 2007-05-23T09:40:37Z | |
| dc.date.issued | 1988 | en_US |
| dc.description.abstract | The 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.extent | 239886 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/1903/4734 | |
| dc.language.iso | en_US | en_US |
| dc.relation.ispartofseries | ISR; TR 1988-1 | en_US |
| dc.title | The Conditional Adjoint Process. | en_US |
| dc.type | Technical Report | en_US |
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