Geodesic
A simulation of integral and derivative of the solution of a stochastici integral equation
Annales Polonici Mathematici, Tome 57 (1992) no. 1, pp. 1-12.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

A stochastic integral equation corresponding to a probability space $(Ω,Σ_ω,P_ω)$ is considered. This equation plays the role of a dynamical system in many problems of stochastic control with the control variable $u(·):ℝ^1 → ℝ^m$. One constructs stochastic processes $η^{(1)}(t)$, $η^{(2)}(t)$ connected with a Markov chain and with the space $(Ω,Σ_ω,P_ω)$. The expected values of $η^{(i)}(t)$ (i = 1,2) are respectively the expected value of an integral representation of a solution x(t) of the equation and that of its derivative $x'_u(t)$.
DOI : 10.4064/ap-57-1-1-12

Hy Nguyen 1 ; Minh Nguyen 1

1 
@article{10_4064_ap_57_1_1_12,
     author = {Hy Nguyen and Minh Nguyen},
     title = {A simulation of integral and derivative of the solution of a stochastici integral equation},
     journal = {Annales Polonici Mathematici},
     pages = {1--12},
     publisher = {mathdoc},
     volume = {57},
     number = {1},
     year = {1992},
     doi = {10.4064/ap-57-1-1-12},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/ap-57-1-1-12/}
}
TY  - JOUR
AU  - Hy Nguyen
AU  - Minh Nguyen
TI  - A simulation of integral and derivative of the solution of a stochastici integral equation
JO  - Annales Polonici Mathematici
PY  - 1992
SP  - 1
EP  - 12
VL  - 57
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/ap-57-1-1-12/
DO  - 10.4064/ap-57-1-1-12
LA  - en
ID  - 10_4064_ap_57_1_1_12
ER  - 
%0 Journal Article
%A Hy Nguyen
%A Minh Nguyen
%T A simulation of integral and derivative of the solution of a stochastici integral equation
%J Annales Polonici Mathematici
%D 1992
%P 1-12
%V 57
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/ap-57-1-1-12/
%R 10.4064/ap-57-1-1-12
%G en
%F 10_4064_ap_57_1_1_12
Hy Nguyen; Minh Nguyen. A simulation of integral and derivative of the solution of a stochastici integral equation. Annales Polonici Mathematici, Tome 57 (1992) no. 1, pp. 1-12. doi : 10.4064/ap-57-1-1-12. http://geodesic.mathdoc.fr/articles/10.4064/ap-57-1-1-12/

Cité par Sources :