Optimal Control for Continuous-Time Linear Quadratic Problems with Infinite Markov Jump Parameters

DOI10.1137/S0363012900367485zbMath1058.93058OpenAlexW1971131152MaRDI QIDQ2753204

Jack Baczynski, Marcelo Dutra Fragoso

Publication date: 29 October 2001

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012900367485

zbMATH Keywords

optimal controlstochastic stabilitysemigroup theorypositive semidefinite solutiondecomplexificationstochastic detectabilitycountably infinite set of coupled algebraic Riccati equationshomogeneous right-continuous Markov processinfinite horizon quadratic cost

Mathematics Subject Classification ID

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