Article ID: | iaor19981801 |
Volume: | 35 |
Issue: | 6 |
Start Page Number: | 2070 |
End Page Number: | 2085 |
Publication Date: | Nov 1997 |
Journal: | SIAM Journal on Control and Optimization |
Authors: | Altman Eitan, Gaitsgory Vladimir |
Keywords: | programming: dynamic, markov processes |
We consider in this paper a continuous time stochastic hybrid control system with finite time horizon. The objective is to minimize a nonlinear function of the state trajectory. The state evolves according to a nonlinear dynamics. The parameters of the dynamics of the system may change at discrete times