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
Cet article a éte moissonné depuis 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 $x'_u(t)$.
@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},
year = {1992},
volume = {57},
number = {1},
doi = {10.4064/ap-57-1-1-12},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.4064/ap-57-1-1-12/}
}
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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
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