Discounted linear exponential quadratic Gaussian control

DOI10.1109/9.384242zbMath0825.93969OpenAlexW2001432227MaRDI QIDQ4841511

Lars Peter Hansen, Thomas J. Sargent

Publication date: 28 November 1995

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.384242

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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