Browsing Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering by Subject "Jump processes"
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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 ...