Titlebook: Stochastic Controls; Hamiltonian Systems Jiongmin Yong,Xun Yu Zhou Book 1999 Springer Science+Business Media New York 1999 Martingale.Sto

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cesses are based on the expansion of the problem at the nominal value of parameters which lie in a (possibly large) confidence region. Robust optimal experiments, that are insensitive against uncertainties in parameter values, should be obtained if we optimize the experiments in min-max fashion (wor

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0172-4568 stochastic case. The system consisting of the adjoint equa­ tion, the original state equation, and the maximum condition is referred to as an (extended) Hamilto978-1-4612-7154-3978-1-4612-1466-3Series ISSN 0172-4568 Series E-ISSN 2197-439X

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Stochastic Modelling and Applied Probabilityhttp://image.papertrans.cn/s/image/877891.jpg

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https://doi.org/10.1007/978-1-4612-1466-3Martingale; Stochastic calculus; Stochastic processes; Variance; stochastic process

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Basic Stochastic Calculus,anding the subsequent material and/or when there is no immediate reference available) or else referred to standard and easily accessible books. Knowledgeable readers may skip this chapter or regard it as a quick reference.