Stochastic optimality in the problem on linear regulator perturbed by a sequence of dependent random variables

DOI10.1515/156939206777344601zbMath1133.93046OpenAlexW2088863903MaRDI QIDQ5424048

T. A. Belkina, M. S. Levochkina

Publication date: 2 November 2007

Published in: Discrete Mathematics and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939206777344601

zbMATH Keywords

economic applicationsintegral cost functionallinear discrete time dynamic control problem

Mathematics Subject Classification ID

Multivariable systems, multidimensional control systems (93C35) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Cites Work

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