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Optimal control for systems modeled by stochastic variational inequalities

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2 Author(s)
Shin Ichi Aihara ; Kyoto Institute of Technology, Kyoto, Japan ; Yoshifumi Sunahara

We study the optimal control problem where the system is modeled by a stochastic variational in equality with obstacle for the quadratic cost functional with respect to the state and control variables. After showing the existence of a unique continuous solution of stochastic variational inequality, the explicit form of the so called adjoint equation is given.

Published in:

Decision and Control, 1987. 26th IEEE Conference on  (Volume:26 )

Date of Conference:

9-11 Dec. 1987