Generalized linear-quadratic stochastic control problem with incomplete information

zbMath0928.93070MaRDI QIDQ1281101

Evgeny Ya. Rubinovich

Publication date: 9 January 2000

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

incomplete informationlinear-quadratic controlnon-Gaussian semimartingales

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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