Title :
On time hybrid controlled Martingale problem
Author :
Bielecki, Tomasz R.
Author_Institution :
Dept. of Math., Northeastern Illinois Univ., Chicago, IL, USA
Abstract :
A time hybrid controlled martingale problem (THCMP) is defined. The THCMP extends the classical concept of the controlled martingale problem. The relevance of THCMP to time hybrid control problems, that incorporate both discrete and continuous time scales, is demonstrated. Bellman-type optimality equations and a verification theorem that extend, and unite, the classical optimality results of continuous time and discrete time control theories are provided. Some illustrative examples are also given
Keywords :
continuous time systems; discrete time systems; stochastic processes; stochastic systems; Bellman-type optimality equations; classical optimality results; continuous time scales; discrete time scales; time hybrid controlled Martingale problem; verification theorem; Computer science; Control system synthesis; Control systems; Control theory; Electric shock; Equations; Mathematics; Optimal control; Statistics; Stochastic processes;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.572820
