Direct solution of a Riccati equation arising in stochastic control theory
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Publication:761411
DOI10.1007/BF01442178zbMath0555.93070OpenAlexW2134065371MaRDI QIDQ761411
Publication date: 1984
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01442178
Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by partial differential equations (93C20) Linear systems in control theory (93C05) Dynamic programming (90C39) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25) Inner product spaces and their generalizations, Hilbert spaces (46C99)
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