Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise

DOI10.1109/TAC.2018.2831641zbMath1482.93715OpenAlexW2799898095WikidataQ57445391 ScholiaQ57445391MaRDI QIDQ5223703

Yun Shi, Li, Duan, Wei-Ping Wu, Jian-Jun Gao

Publication date: 18 July 2019

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

Full work available at URL: https://doi.org/10.1109/tac.2018.2831641

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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