Browsing by Subject "Relaxed controls"
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Conference Object
Optimization of nonlinear stochastic uncertain relaxed controlled systems: Entropy rate functional and robustness
(2004)This paper is concerned with nonlinear stochastic uncertain relaxed controlled difussions, in which the pay-off is described by the relative entropy between the nominal measure and the uncertain measure, when the uncertain ...
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Article
Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls
(2013)In this paper, we consider nonconvex control problems of stochastic differential equations driven by relaxed controls adapted, in the weak star sense, to a current of sigma algebras generated by observable processes. We ...