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Bagchi, Arunabha; Schilperoort, Tom

Optimal linear stochastic control for systems with multiplicative noise. (English) Zbl 0447.93054

IEEE Trans. Autom. Control 25, 1005-1007 (1980).
Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page
scan of Zbl 0447.93054

Cited in 1 Document

MSC:

93E20 Optimal stochastic control
49K45 Optimality conditions for problems involving randomness
93C05 Linear systems in control theory
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

multiplicative noise; Bellman’s principle of optimality; matrix maximum principle

Citations:

Zbl 0224.93055
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