The stochastic Riccati equation

Nonlinear Analysis, Theory, Methods and Applications - Tập 4 - Trang 1131-1133 - 1980
R. Bellman1, G. Adomian2
1Departments of Mathematics, Engineering, and Medicine, University of Southern California, U.S.A.
2Center for Applied Mathematics, University of Georgia, U.S.A.

Tài liệu tham khảo

Bellman, 1972, Quasilinearization and stability of nonlinear stochastic systems, Jour. of Math. Anal. and Appl., 40, 159, 10.1016/0022-247X(72)90039-X Adomian, 1976, Nonlinear stochastic differential equations, Jour. Math. Anal. and Appl., 55, 441, 10.1016/0022-247X(76)90174-8 Adomian, 1977, Stochastic Green's formula and application to stochastic differential rquations, Jour. Math. Anal. and Appl., 60, 743, 10.1016/0022-247X(77)90013-0 Adomian, 1977, Stochastic differential equations with random initial conditions, Jour. Math. Anal. and Appl., 61, 216, 10.1016/0022-247X(77)90156-1 Adomian G. & Malakian K., Operator-theoretic solution of stochastic systems, Jour. Math. Anal. and Appl. (to appear).