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Well-posedness and Attainability of Indefinite Stochastic Linear Quadratic Control in Infinite-time Horizon

Rami, Mustapha Ait; Zhou, Xun; Moore, John


This paper is concerned with a stochastic linear-quadratic (LQ) problem in an infinite time horizon with multiplicative noises both in the state and the control. A distinctive feature of the problem under consideration is that the cost weighting matrices

CollectionsANU Research Publications
Date published: 2000
Type: Journal article
Source: Systems and Control Letters


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