Continuous Time
If the model is in continuous time, the controller knows the state of the system at each instant of time. The object is to maximize either an integral of, for example, a concave function of a state variable over a horizon from time zero (the present) to a terminal time T, or a concave function of a state variable at some future date T. As time evolves, new observations are continuously made and the control variables are continuously adjusted in optimal fashion.
Read more about this topic: Stochastic Control
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