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Stochastic Hamilton Jacobi Bellman Equations and Regular Singular Points
Probability| Speaker: | Arthur Krener, Naval Academy, Monterey |
| Location: | 2112 MSB |
| Start time: | Wed, Mar 6 2019, 4:10PM |
Abstract: Some stochastic HJB equations have a regular singular point at the origin and so the Taylor series of the optimal cost and optimal feedback can be computed degree by degree.