Exponential linear quadratic optimal control with discounting

DOI10.1109/9.273361zbMath0803.49023OpenAlexW2129922709MaRDI QIDQ4291131

William E. jun. Hopkins

Publication date: 10 May 1994

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.273361

zbMATH Keywords

linear stochastic differential equationdiscounted functionalpartial observation problemstime- varying Riccati equation

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55)

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