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Uncertain bang-bang control for continuous time model. (English) Zbl 1331.93228
Summary: By using the equation of optimality in uncertain optimal control, an uncertain bang-bang control problem for a continuous time model is investigated. An example is given to illustrate the result obtained.

MSC:
93E20 Optimal stochastic control
49J30 Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.)
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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