Well-posedness and Attainability of Indefinite Stochastic Linear Quadratic Control in Infinite-time Horizon
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
|Collections||ANU Research Publications|
|Source:||Systems and Control Letters|
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