10.45 am, Monday April 4th, 2005
M345 (Building 28)
Generalized (discontinuous) solutions in stochastic control problems
Professor Boris Miller
Institute for Information Transmission Problems, Russian Academy of Sciences
The presentation will include: the definition of the concept of generalized solutions, methods of its representation with the aid of stochastic differential equations with measures, statement of the optimal control problem and the solution existence results within the class of generalized solutions, optimality conditions, and some examples concerning the observation control problems.
Convenor:Kais Hamza