The Norm Optimal Control Problem for Stochastic Linear Control Systems
Author:
Publisher
EDP Sciences
Subject
Computational Mathematics,Control and Optimization,Control and Systems Engineering
Link
http://www.esaim-cocv.org/10.1051/cocv/2014030/pdf
Reference17 articles.
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2. Ehrhardt M. and Kliemann W., Controllability of linear stochastic systems.Syst. Control Lett.2(1982) 145–153.
3. El Karoui N., Peng S. and Quenez M.C., Backward stochastic differential equations in finance.Math. Finance7(1997) 1–71.
4. H.O. Fattorini, Infinite Dimensional Linear Control Systems, The Time Optimal and Norm Optimal Problems. Elsevier, Amsterdam (2005).
5. Goreac D., A Kalman-type condition for stochastic approximate controllability.C.R. Math. Acad. Sci. Paris346(2008), 183-188.
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