Stochastic Control Theory

Jan H. van Schuppen*

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific


Stochastic control issues of a general character are presented. Problems of control theory are mentioned which require research interest the coming years. A general method for sufficient and necessary conditions for the existence of an optimal control law is discussed. The framework covers arbitrary cost functions, including additive and multiplicative functions. In addition, the approach of a measure transformation is formulated and illustrated for stochastic control of a partially observed stochastic control system.

Original languageEnglish
Title of host publicationControl and System Theory of Discrete-Time Stochastic Systems
EditorsJ.H. van Schuppen
Number of pages8
ISBN (Electronic)978-0-030-66952-2
Publication statusPublished - 2021

Publication series

NameCommunications and Control Engineering
ISSN (Print)0178-5354
ISSN (Electronic)2197-7119


  • Measure transformation approach
  • Optimality conditions
  • Problems


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