Abstract
Let (Ω, F, P) be a probability space and let F t , t ≥ 0, be a nondecreasing family of sub-σ-algebras of F. Let η(·) be an (Ω, F t , P) Brownian motion valued in ℝp. For each distribution π = {π1,..., π N } on {1,..., N}, let θ = θ(η;π): Ω → {1,..., N} be an F 0-measurable random variable distributed according to π.
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Notes and References
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P. R. Kumar, “A Survey of Some Results in Stochastic Adaptive Control,” SIAM J. Control Optim., 23 (1985), 329–380.
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© 1987 Springer Science+Business Media New York
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Hijab, O. (1987). The Adaptive LQ Regulator. In: Stabilization of Control Systems. Applications of Mathematics, vol 20. Springer, New York, NY. https://doi.org/10.1007/978-1-4899-0013-5_5
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DOI: https://doi.org/10.1007/978-1-4899-0013-5_5
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