Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
type: Item
instance of: scholarly article
title: Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
zbMATH Open document ID: 1260.93173
author: Oswaldo Luiz V. Costa
author: Alexandre de Oliveira
published in: Automatica
publication date: 2013-03-12T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C55
Mathematics Subject Classification ID: 93C05
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6143423
zbMATH Keywords: mean-variance control
zbMATH Keywords: Markov jump systems
zbMATH Keywords: multiplicative noises
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: Riccati equations
MaRDI profile type: Publication
full work available at URL: j.automatica.2011.11.009
OpenAlex ID: W2040113250
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DOI: 10.1016/J.AUTOMATICA.2011.11.009
description: scientific article; zbMATH DE number 6143423