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The separation principle for stochastic differential equations with unbounded coefficients

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Part of the Lecture Notes in Mathematics book series (LNM,volume 1236)

Keywords

  • Stochastic Differential Equation
  • Riccati Equation
  • Wiener Process
  • Boundary Control
  • Admissible Control

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References

  1. R.F. Curtain and A. Ichikawa, The separation principle for stochastic evolution equations, SIAM J. Control Optimiz., 15(1977), 367–383.

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© 1987 Springer-Verlag

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Ichikawa, A. (1987). The separation principle for stochastic differential equations with unbounded coefficients. In: Da Prato, G., Tubaro, L. (eds) Stochastic Partial Differential Equations and Applications. Lecture Notes in Mathematics, vol 1236. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0072888

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  • DOI: https://doi.org/10.1007/BFb0072888

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-17211-6

  • Online ISBN: 978-3-540-47408-1

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