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Accession Number:
ADA067834
Title:
A General Martingale Approach to Discrete Time Stochastic Control and Estimation.
Corporate Author:
TEXAS UNIV AT AUSTIN DEPT OF ELECTRICAL ENGINEERING
Report Date:
1979-03-23
Abstract:
A general method of constructing system models for the solution of discrete time stochastic control and estimation problems is presented. The method involves the application of modern martingale theory and entails the judicious choice of certain sigma-algebras and martingales. General estimation equations are derived for observations taking values in a countable space, and previously obtained estimation equations are exhibited as special cases. Finally, an example of the application of the these methods to a stochastic control problem is analyzed. Author
Descriptive Note:
Interim rept.,
Supplementary Note:
DOI: 10.21236/ADA067834
Pages:
0023
Contract Number:
F49620-77-C-0101
Contract Number 2:
AFOSR-79-0025
File Size:
8.72MB
