Browsing by Subject "Recursions"
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(2003)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
(2012)The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variational distance uncertainty on the conditional distribution of the controlled process. Utilizing ...