On the stochastic linear regulator problem for systems with infinite invariance

DOI10.1016/0167-6911(93)90098-QzbMath0794.93107OpenAlexW1995233400MaRDI QIDQ1315954

P. Fallot, Alain Le Breton

Publication date: 24 March 1994

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(93)90098-q

zbMATH Keywords

Gaussian white noiseRiccati equationinfinite variancescalar discrete time stochastic systems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

Related Items (1)

Estimation of the autoregression parameter with infinite dispersion of noise

Cites Work

• A generalization of the Kalman filter to models with infinite variance
• Linear Problems in Linear Problems inpth Order and Stable Processes
• Minimum error dispersion linear filtering of scalar symmetric stable processes
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